Bailador Technology Investments Limited Spline ILLIQ Liquidity Analysis
Liquidity prediction for Monday, July 20th, 2026
1 Day
281,554.00
increased by 23,035.30
1 Week
181,182.60
decreased by 77,336.10
1 Month
107,082.13
decreased by 151,436.57
Analysis last updated: Saturday, July 18, 2026 at 08:46 PM UTC
News Impact Curve
How returns affect tomorrow's liquidityLiquidity Forecast
How liquidity evolves over timeParameter Estimates
Nov 24, 2014 to Jul 17, 2026Model Insight
This model fits a time-varying baseline (a spline), so illiquidity mean-reverts toward a slowly-shifting long-run level rather than a constant. Short-run deviations decay with a half-life of 5 trading days.
μ
ILLIQ-SMEM Model
Tap to view equation
| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 2.4857 | 2.27** |
α ARCH Response to squared shocks | 0.1801 | 4.37*** |
β GARCH Volatility persistence | 0.6868 | 11.62*** |
Spline Coefficients
K=10
| γ1 | -1.9900 | -0.96 |
| γ2 | 3.9755 | 1.32 |
| γ3 | -3.6349 | -2.41** |
| γ4 | 3.0890 | 2.47** |
| γ5 | -2.9834 | -1.93* |
| γ6 | 2.7199 | 2.17** |
| γ7 | -1.6051 | -2.41** |
| γ8 | 0.5743 | 1.11 |
| γ9 | -0.2276 | -0.36 |
| γ10 | 0.5839 | 0.62 |
Persistence:
0.867
Half-life:
5 days
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