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Caixa Rio Bravo Fundo de Fundos de Investimento Imobiliario Spline ILLIQ Liquidity Analysis

Liquidity prediction for Monday, July 20th, 2026

1 Day

3,793,662.00

decreased by 327,195.00

1 Week

4,166,186.40

increased by 45,329.40

1 Month

3,141,220.00

decreased by 979,637.00

Analysis last updated: Sunday, July 19, 2026 at 04:46 AM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

All

graph of Caixa Rio Bravo Fundo de Fundos de Investimento Imobiliario ILLIQ-SMEM

News Impact Curve

How returns affect tomorrow's liquidity

Liquidity Forecast

How liquidity evolves over time

Parameter Estimates

Apr 9, 2014 to Jul 17, 2026

Model Insight

This model fits a time-varying baseline (a spline), so illiquidity mean-reverts toward a slowly-shifting long-run level rather than a constant. Short-run deviations decay with a half-life of 11 trading days.

μ

ILLIQ-SMEM Model

Tap to view equation

ParameterValuet-statistic
ω

const

Unconditional variance weight

1.2859
3.86***
α

ARCH

Response to squared shocks

0.0691
3.70***
β

GARCH

Volatility persistence

0.8721
27.26***
γi Spline Coefficients
K=3
γ1-0.3108
-2.39**
γ20.7695
4.24***
γ3-0.8330
-4.38***

Persistence:

0.941

Half-life:

11 days