Equity Residential 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 Monday, July 20th, 2026
1 Day
92.39
increased by 1.60
1 Week
87.36
decreased by 3.43
1 Month
87.40
decreased by 3.39
Analysis last updated: Friday, July 17, 2026 at 10:52 PM UTC
News Impact Curve
How returns affect tomorrow's liquidityLiquidity Forecast
How liquidity evolves over timeParameter Estimates
Aug 12, 1993 to Jul 17, 2026Model Insight
With persistence 1.000, illiquidity shocks have a half-life of 138629 trading days (~550.1 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 | 1.2642 | 2.55** |
α ARCH Response to squared shocks | 0.0575 | 0.11 |
β GARCH Volatility persistence | 0.9425 | 1.72* |
Spline Coefficients
K=1
| γ1 | 0.0011 | 0.01 |
Persistence:
1.000
Half-life:
138629 days
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