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V-Lab

Covivio Hotels SACA Spline ILLIQ Liquidity Analysis

Liquidity prediction for Monday, July 20th, 2026

1 Day

916,423.30

decreased by 83,441.80

1 Week

955,475.92

decreased by 44,389.18

1 Month

1,329,891.52

increased by 330,026.42

Analysis last updated: Saturday, July 18, 2026 at 10:41 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

All

graph of Covivio Hotels SACA ILLIQ-SMEM

News Impact Curve

How returns affect tomorrow's liquidity

Liquidity Forecast

How liquidity evolves over time

Parameter Estimates

Oct 30, 1996 to Jul 17, 2026

Model Insight

This model fits a time-varying baseline (a spline), so illiquidity mean-reverts toward a slowly-shifting long-run level rather than a constant. Short-run deviations decay with a half-life of 12 trading days.

μ

ILLIQ-SMEM Model

Tap to view equation

ParameterValuet-statistic
ω

const

Unconditional variance weight

4.4970
6.01***
α

ARCH

Response to squared shocks

0.1708
10.51***
β

GARCH

Volatility persistence

0.7733
36.17***
γi Spline Coefficients
K=6
γ1-0.1028
-1.79*
γ20.2580
2.72***
γ3-0.1658
-2.54**
γ40.0281
0.50
γ5-0.0345
-0.59
γ60.0704
0.82

Persistence:

0.944

Half-life:

12 days