BXP Inc Spline ILLIQ Liquidity Analysis
Liquidity prediction for Monday, July 20th, 2026
1 Day
190.59
increased by 0.36
1 Week
186.08
decreased by 4.15
1 Month
189.17
decreased by 1.06
Analysis last updated: Friday, July 17, 2026 at 10:44 PM UTC
News Impact Curve
How returns affect tomorrow's liquidityLiquidity Forecast
How liquidity evolves over timeParameter Estimates
Jun 18, 1997 to Jul 17, 2026Model Insight
With persistence 0.997, illiquidity shocks have a half-life of 244 trading days (~1.0 years), close to a unit root, so long-run forecasts are highly sensitive to this estimate.
μ
ILLIQ-SMEM Model
Tap to view equation
| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 1.1925 | 7.06*** |
α ARCH Response to squared shocks | 0.0713 | 14.73*** |
β GARCH Volatility persistence | 0.9259 | 195.50*** |
Spline Coefficients
K=1
| γ1 | 0.0020 | 1.47 |
Persistence:
0.997
Half-life:
244 days
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