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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

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

All

graph of First Capital Real Estate Investment Trust ILLIQ-SMEM

News Impact Curve

How returns affect tomorrow's liquidity

Liquidity Forecast

How liquidity evolves over time

Parameter Estimates

Mar 30, 1994 to Jul 17, 2026

Model 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

ParameterValuet-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***
γi Spline Coefficients
K=6
γ1-0.1882
-1.21
γ20.2818
1.11
γ3-0.1722
-0.90
γ4-0.3574
-0.75
γ51.5792
1.04
γ6-2.2673
-1.17

Persistence:

0.999

Half-life:

825 days