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V-Lab

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

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

All

graph of L1 Global Long Short Fund Ltd ILLIQ-SMEM

News Impact Curve

How returns affect tomorrow's liquidity

Liquidity Forecast

How liquidity evolves over time

Parameter Estimates

Jun 29, 1994 to Jul 10, 2026

Model 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

ParameterValuet-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***
γi Spline Coefficients
K=5
γ1-0.0674
-5.05***
γ20.1281
6.32***
γ3-0.1210
-8.45***
γ40.1159
8.15***
γ5-0.1263
-6.80***

Persistence:

0.975

Half-life:

27 days