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
News Impact Curve
How returns affect tomorrow's liquidityLiquidity Forecast
How liquidity evolves over timeParameter Estimates
Jun 3, 2011 to Jul 3, 2026Model 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
| Parameter | Value | t-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*** |
Spline Coefficients
K=10
| γ1 | 2.1670 | 0.45 |
| γ2 | -5.7172 | -1.21 |
| γ3 | 5.2395 | 3.53*** |
| γ4 | -1.7587 | -2.13** |
| γ5 | 0.7770 | 0.77 |
| γ6 | -2.7556 | -2.57** |
| γ7 | 3.3752 | 2.47** |
| γ8 | -1.9150 | -1.46 |
| γ9 | -0.6157 | -0.37 |
| γ10 | 5.2697 | 1.85* |
Persistence:
1.000
Half-life:
6795 days
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