L1 Global Long Short Fund Ltd Spline ILLIQ Liquidity Analysis
Liquidity prediction for Wednesday, July 15th, 2026
1 Day
10,034.02
decreased by 1,194.62
1 Week
10,982.54
decreased by 246.10
1 Month
11,436.31
increased by 207.67
Analysis last updated: Wednesday, July 15, 2026 at 06:05 PM UTC
News Impact Curve
How returns affect tomorrow's liquidityLiquidity Forecast
How liquidity evolves over timeParameter Estimates
Jun 29, 1994 to Jul 10, 2026Model Insight
This model fits a time-varying baseline (a spline), so illiquidity mean-reverts toward a slowly-shifting long-run level rather than a constant. Short-run deviations decay with a half-life of 27 trading days.
μ
ILLIQ-SMEM Model
Tap to view equation
| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 1.7501 | 7.35*** |
α ARCH Response to squared shocks | 0.1033 | 12.18*** |
β GARCH Volatility persistence | 0.8714 | 86.74*** |
Spline Coefficients
K=5
| γ1 | -0.0674 | -5.05*** |
| γ2 | 0.1281 | 6.32*** |
| γ3 | -0.1210 | -8.45*** |
| γ4 | 0.1159 | 8.15*** |
| γ5 | -0.1263 | -6.80*** |
Persistence:
0.975
Half-life:
27 days
Other L1 Global Long Short Fund Ltd Analyses
Other Spline ILLIQ Analyses on Closed-end Funds