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
News Impact Curve
How returns affect tomorrow's liquidityLiquidity Forecast
How liquidity evolves over timeParameter Estimates
Apr 9, 2014 to Jul 17, 2026Model 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
| Parameter | Value | t-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*** |
Spline Coefficients
K=3
| γ1 | -0.3108 | -2.39** |
| γ2 | 0.7695 | 4.24*** |
| γ3 | -0.8330 | -4.38*** |
Persistence:
0.941
Half-life:
11 days
Other Caixa Rio Bravo Fundo de Fundos de Investimento Imobiliario Analyses
Other Spline ILLIQ Analyses on Real Estate