Chevron Corp Spline ILLIQ Liquidity Analysis
Liquidity prediction for Monday, July 20th, 2026
1 Day
8.77
increased by 0.24
1 Week
8.70
increased by 0.17
1 Month
8.11
decreased by 0.42
Analysis last updated: Friday, July 17, 2026 at 10:50 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 637 trading days (~2.5 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 | 1.0333 | 9.35*** |
α ARCH Response to squared shocks | 0.0399 | 11.42*** |
β GARCH Volatility persistence | 0.9590 | 271.75*** |
Spline Coefficients
K=1
| γ1 | -0.0009 | -0.96 |
Persistence:
0.999
Half-life:
637 days
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