CVS Health Corp Spline ILLIQ Liquidity Analysis
Liquidity prediction for Tuesday, July 21st, 2026
1 Day
17.13
decreased by 0.98
1 Week
18.60
increased by 0.49
1 Month
19.48
increased by 1.37
Analysis last updated: Monday, July 20, 2026 at 09:41 PM UTC
News Impact Curve
How returns affect tomorrow's liquidityLiquidity Forecast
How liquidity evolves over timeParameter Estimates
Jan 2, 1990 to Jul 17, 2026Model Insight
With persistence 0.999, illiquidity shocks have a half-life of 601 trading days (~2.4 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 | 1.0615 | 7.97*** |
α ARCH Response to squared shocks | 0.0682 | 7.71*** |
β GARCH Volatility persistence | 0.9306 | 111.40*** |
Spline Coefficients
K=2
| γ1 | -0.0096 | -1.93* |
| γ2 | 0.0193 | 2.19** |
Persistence:
0.999
Half-life:
601 days
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