FabricAI Inc 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 Wednesday, July 15th, 2026
1 Day
45,701.33
increased by 4,461.22
1 Week
43,006.74
increased by 1,766.63
1 Month
39,055.09
decreased by 2,185.02
Analysis last updated: Tuesday, July 14, 2026 at 09:16 PM UTC
News Impact Curve
How returns affect tomorrow's liquidityLiquidity Forecast
How liquidity evolves over timeParameter Estimates
Oct 6, 2003 to Jul 10, 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 | 1.1062 | 0.25 |
α ARCH Response to squared shocks | 0.2134 | 0.04 |
β GARCH Volatility persistence | 0.7866 | 0.16 |
Spline Coefficients
K=4
| γ1 | -0.0401 | 0.00 |
| γ2 | -0.2577 | -0.02 |
| γ3 | 0.7519 | 0.17 |
| γ4 | -0.8287 | -0.18 |
Persistence:
1.000
Half-life:
86643 days
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