CTO Realty Growth 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, July 20th, 2026
1 Day
1,622.02
decreased by 0.61
1 Week
1,471.65
decreased by 150.98
1 Month
1,693.31
increased by 70.68
Analysis last updated: Friday, July 17, 2026 at 11:28 PM UTC
News Impact Curve
How returns affect tomorrow's liquidityLiquidity Forecast
How liquidity evolves over timeParameter Estimates
Jan 1, 1990 to Jul 17, 2026Model Insight
With persistence 1.000, illiquidity shocks have a half-life of 77016 trading days (~305.6 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 | 1.0476 | 4.02*** |
α ARCH Response to squared shocks | 0.0720 | 1.41 |
β GARCH Volatility persistence | 0.9280 | 18.22*** |
Spline Coefficients
K=2
| γ1 | -0.0090 | -0.16 |
| γ2 | -0.0065 | -0.11 |
Persistence:
1.000
Half-life:
77016 days
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