CEPS PLC Spline ILLIQ Liquidity Analysis
High-persistence model: shocks decay very slowly, so the theoretical long-run value may not be practically meaningful
Liquidity prediction for Tuesday, July 7th, 2026
1 Day
101,182.50
increased by 1.80
1 Week
101,182.50
increased by 1.80
1 Month
101,181.60
increased by 0.90
Analysis last updated: Tuesday, July 7, 2026 at 08:26 PM UTC
News Impact Curve
How returns affect tomorrow's liquidityLiquidity Forecast
How liquidity evolves over timeParameter Estimates
Jan 8, 2007 to Jun 5, 2026Model Insight
With persistence 1.000, illiquidity shocks have a half-life of 38508 trading days (~152.8 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 | 1.7442 | 0.00 |
α ARCH Response to squared shocks | 0.0000 | 0.00 |
β GARCH Volatility persistence | 1.0000 | 0.00 |
Spline Coefficients
K=10
| γ1 | 18.2577 | 0.00 |
| γ2 | -20.2971 | 0.00 |
| γ3 | 2.9027 | 0.00 |
| γ4 | -12.3782 | 0.00 |
| γ5 | 14.7927 | 0.00 |
| γ6 | 7.6415 | 0.00 |
| γ7 | -18.2423 | 0.00 |
| γ8 | 3.6469 | 0.00 |
| γ9 | 11.9907 | 0.00 |
| γ10 | -39.7028 | 0.00 |
Persistence:
1.000
Half-life:
38508 days
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