CRA International Inc Spline ILLIQ Liquidity Analysis
High-persistence model: shocks decay very slowly, so the theoretical long-run value may not be practically meaningful
Liquidity prediction for Monday, June 15th, 2026
1 Day
890.44
increased by 30.13
1 Week
916.74
increased by 56.43
1 Month
909.31
increased by 49.00
Analysis last updated: Friday, June 12, 2026 at 11:00 PM UTC
News Impact Curve
How returns affect tomorrow's liquidityLiquidity Forecast
How liquidity evolves over timeParameter Estimates
| param | t-stat | |
|---|---|---|
| 0.8613 | 2.86 | |
| 0.0948 | 0.67 | |
| 0.9051 | 6.40 | |
| -0.8912 | -2.30 | |
| 1.3686 | 2.23 | |
| -0.6571 | -1.78 | |
| 0.1905 | 1.00 | |
| -0.0037 | -0.04 | |
| -0.0654 | -0.67 |
Estimation Period:
Apr 24, 1998 to Jun 12, 2026
Apr 24, 1998 to Jun 12, 2026
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