ECO World DEV Group BHD Spline ILLIQ Liquidity Analysis
High-persistence model: shocks decay very slowly, so the theoretical long-run value may not be practically meaningful
Liquidity prediction for Tuesday, July 21st, 2026
1 Day
6,897.45
increased by 3,239.52
1 Week
3,836.92
increased by 178.99
1 Month
4,054.94
increased by 397.01
Analysis last updated: Tuesday, July 21, 2026 at 07:39 PM UTC
News Impact Curve
How returns affect tomorrow's liquidityLiquidity Forecast
How liquidity evolves over timeParameter Estimates
Jun 24, 1994 to Jul 17, 2026Model Insight
With persistence 1.000, illiquidity shocks have a half-life of 86643 trading days (~343.8 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 | 0.9706 | 0.01 |
α ARCH Response to squared shocks | 0.1686 | 0.01 |
β GARCH Volatility persistence | 0.8314 | 0.05 |
Spline Coefficients
K=10
| γ1 | -1.3287 | 0.00 |
| γ2 | 1.7154 | 0.00 |
| γ3 | 3.3766 | 0.01 |
| γ4 | -6.1331 | -0.01 |
| γ5 | 1.2663 | 0.00 |
| γ6 | 1.8061 | 0.05 |
| γ7 | -0.6987 | -0.04 |
| γ8 | 0.0812 | 0.01 |
| γ9 | -0.2940 | -0.03 |
| γ10 | 0.4678 | 0.09 |
Persistence:
1.000
Half-life:
86643 days
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