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Commercial Credit And Fin Spline ILLIQ Liquidity Analysis

Liquidity prediction for Thursday, July 9th, 2026

1 Day

3,424.38

decreased by 57.55

1 Week

3,499.37

increased by 17.44

1 Month

5,592.72

increased by 2,110.79

Analysis last updated: Thursday, July 9, 2026 at 08:15 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

All

graph of Commercial Credit And Fin ILLIQ-SMEM

News Impact Curve

How returns affect tomorrow's liquidity

Liquidity Forecast

How liquidity evolves over time

Parameter Estimates

Jun 3, 2011 to Jul 3, 2026

Model Insight

With persistence 1.000, illiquidity shocks have a half-life of 6795 trading days (~27.0 years), close to a unit root, so long-run forecasts are highly sensitive to this estimate.

μ

ILLIQ-SMEM Model

Tap to view equation

ParameterValuet-statistic
ω

const

Unconditional variance weight

1.0336
4.01***
α

ARCH

Response to squared shocks

0.2041
1.74*
β

GARCH

Volatility persistence

0.7958
6.87***
γi Spline Coefficients
K=10
γ12.1670
0.45
γ2-5.7172
-1.21
γ35.2395
3.53***
γ4-1.7587
-2.13**
γ50.7770
0.77
γ6-2.7556
-2.57**
γ73.3752
2.47**
γ8-1.9150
-1.46
γ9-0.6157
-0.37
γ105.2697
1.85*

Persistence:

1.000

Half-life:

6795 days