First Capital Real Estate Investment Trust Spline ILLIQ Liquidity Analysis
Liquidity prediction for Monday, July 20th, 2026
1 Day
294.85
decreased by 1.18
1 Week
293.06
decreased by 2.97
1 Month
270.61
decreased by 25.42
Analysis last updated: Saturday, July 18, 2026 at 09:42 AM UTC
News Impact Curve
How returns affect tomorrow's liquidityLiquidity Forecast
How liquidity evolves over timeParameter Estimates
Mar 30, 1994 to Jul 17, 2026Model Insight
With persistence 0.999, illiquidity shocks have a half-life of 825 trading days (~3.3 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 | 1.5756 | 5.86*** |
α ARCH Response to squared shocks | 0.0869 | 8.24*** |
β GARCH Volatility persistence | 0.9122 | 92.11*** |
Spline Coefficients
K=6
| γ1 | -0.1882 | -1.21 |
| γ2 | 0.2818 | 1.11 |
| γ3 | -0.1722 | -0.90 |
| γ4 | -0.3574 | -0.75 |
| γ5 | 1.5792 | 1.04 |
| γ6 | -2.2673 | -1.17 |
Persistence:
0.999
Half-life:
825 days
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