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
News Impact Curve
How returns affect tomorrow's liquidityLiquidity Forecast
How liquidity evolves over timeParameter Estimates
Oct 30, 1996 to Jul 17, 2026Model 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
| Parameter | Value | t-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*** |
Spline Coefficients
K=6
| γ1 | -0.1028 | -1.79* |
| γ2 | 0.2580 | 2.72*** |
| γ3 | -0.1658 | -2.54** |
| γ4 | 0.0281 | 0.50 |
| γ5 | -0.0345 | -0.59 |
| γ6 | 0.0704 | 0.82 |
Persistence:
0.944
Half-life:
12 days
Other Covivio Hotels SACA Analyses
Other Spline ILLIQ Analyses on Real Estate