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V-Lab

Eurocommercial Properties NV Spline ILLIQ Liquidity Analysis

Liquidity prediction for Monday, July 20th, 2026

1 Day

3,728.14

decreased by 78.45

1 Week

4,066.24

increased by 259.65

1 Month

5,056.68

increased by 1,250.09

Analysis last updated: Sunday, July 19, 2026 at 02:59 AM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

All

graph of Eurocommercial Properties NV ILLIQ-SMEM

News Impact Curve

How returns affect tomorrow's liquidity

Liquidity Forecast

How liquidity evolves over time

Parameter Estimates

Nov 21, 1991 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 21 trading days.

μ

ILLIQ-SMEM Model

Tap to view equation

ParameterValuet-statistic
ω

const

Unconditional variance weight

3.0512
3.27***
α

ARCH

Response to squared shocks

0.0835
6.38***
β

GARCH

Volatility persistence

0.8845
48.98***
γi Spline Coefficients
K=10
γ1-0.2400
-2.15**
γ20.4623
2.70***
γ3-0.3974
-3.94***
γ40.2555
3.29***
γ5-0.0553
-0.91
γ6-0.0253
-0.57
γ7-0.0376
-0.98
γ80.1388
3.83***
γ9-0.1765
-4.87***
γ100.0155
0.27

Persistence:

0.968

Half-life:

21 days