Bolsa DE Valores DE Caracas Spline ILLIQ Liquidity Analysis
Illiquidity prediction for Monday, October 19th, 2026
1 Day
6,308.32
increased by 2,389.51
1 Week
4,585.02
increased by 666.21
1 Month
4,778.13
increased by 859.32
Analysis last updated: Sunday, October 18, 2026 at 03:14 AM UTC
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News Impact Curve
How returns affect tomorrow's illiquidityIlliquidity Forecast
How illiquidity evolves over timeParameter Estimates
Mar 23, 2017 to Oct 16, 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 38 trading days.
μ
ILLIQ-SMEM Model
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Time-varying baseline: illiquidity reverts to a slowly-shifting spline trend
| Param | Value | t-stat |
|---|---|---|
| ωconst | 2.2466 | 1.11 |
| αARCH | 0.0863 | 3.19*** |
| βGARCH | 0.8955 | 23.06*** |
Spline Coefficients
K=9
| γ1 | -0.2121 | -0.12 |
| γ2 | -2.6413 | -0.75 |
| γ3 | 11.1836 | 1.96** |
| γ4 | -10.8614 | -1.17 |
| γ5 | 4.1856 | 0.40 |
| γ6 | -6.9925 | -0.81 |
| γ7 | 7.0538 | 1.21 |
| γ8 | -3.5792 | -0.88 |
| γ9 | 5.0997 | 1.37 |
0.982
Persistence38d
Half-lifeμ
ILLIQ-SMEM Model
Tap to view equation
| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 2.2466 | 1.11 |
α ARCH Response to squared shocks | 0.0863 | 3.19*** |
β GARCH Volatility persistence | 0.8955 | 23.06*** |
Spline Coefficients
K=9
| γ1 | -0.2121 | -0.12 |
| γ2 | -2.6413 | -0.75 |
| γ3 | 11.1836 | 1.96** |
| γ4 | -10.8614 | -1.17 |
| γ5 | 4.1856 | 0.40 |
| γ6 | -6.9925 | -0.81 |
| γ7 | 7.0538 | 1.21 |
| γ8 | -3.5792 | -0.88 |
| γ9 | 5.0997 | 1.37 |
Persistence:
0.982
Half-life:
38 days
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