CION Investment Corp Spline ILLIQ Liquidity Analysis
Liquidity prediction for Friday, July 10th, 2026
1 Day
5,387.72
increased by 83.00
1 Week
5,501.34
increased by 196.62
1 Month
5,166.77
decreased by 137.95
Analysis last updated: Thursday, July 9, 2026 at 09:39 PM UTC
News Impact Curve
How returns affect tomorrow's liquidityLiquidity Forecast
How liquidity evolves over timeParameter Estimates
Oct 5, 2021 to Jul 2, 2026Model Insight
With persistence 0.995, illiquidity shocks have a half-life of 133 trading days (~0.5 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 | 1.1533 | 7.45*** |
α ARCH Response to squared shocks | 0.0655 | 5.40*** |
β GARCH Volatility persistence | 0.9293 | 75.66*** |
Spline Coefficients
K=1
| γ1 | -0.0208 | -0.24 |
Persistence:
0.995
Half-life:
133 days
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