CT Healthcare Trust Plc 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 Tuesday, July 14th, 2026
1 Day
72,921.11
decreased by 4,152.98
1 Week
81,962.18
increased by 4,888.09
1 Month
99,707.86
increased by 22,633.77
Analysis last updated: Tuesday, July 14, 2026 at 08:23 PM UTC
News Impact Curve
How returns affect tomorrow's liquidityLiquidity Forecast
How liquidity evolves over timeParameter Estimates
Dec 2, 2016 to Jul 10, 2026Model Insight
With persistence 1.000, illiquidity shocks have a half-life of 346573 trading days (~1375.3 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 | 1.0571 | 3.07*** |
α ARCH Response to squared shocks | 0.0873 | 0.02 |
β GARCH Volatility persistence | 0.9127 | 0.24 |
Spline Coefficients
K=1
| γ1 | 0.0463 | 0.01 |
Persistence:
1.000
Half-life:
346573 days
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