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
News Impact Curve
How returns affect tomorrow's liquidityLiquidity Forecast
How liquidity evolves over timeParameter Estimates
Nov 21, 1991 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 21 trading days.
μ
ILLIQ-SMEM Model
Tap to view equation
| Parameter | Value | t-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*** |
Spline Coefficients
K=10
| γ1 | -0.2400 | -2.15** |
| γ2 | 0.4623 | 2.70*** |
| γ3 | -0.3974 | -3.94*** |
| γ4 | 0.2555 | 3.29*** |
| γ5 | -0.0553 | -0.91 |
| γ6 | -0.0253 | -0.57 |
| γ7 | -0.0376 | -0.98 |
| γ8 | 0.1388 | 3.83*** |
| γ9 | -0.1765 | -4.87*** |
| γ10 | 0.0155 | 0.27 |
Persistence:
0.968
Half-life:
21 days
Other Eurocommercial Properties NV Analyses
Other Spline ILLIQ Analyses on Real Estate