Alphabet Inc Spline ILLIQ Liquidity Analysis
Liquidity prediction for Tuesday, July 21st, 2026
1 Day
1.60
unchanged at 0.00
1 Week
1.53
decreased by 0.07
1 Month
1.35
decreased by 0.25
Analysis last updated: Monday, July 20, 2026 at 09:25 PM UTC
News Impact Curve
How returns affect tomorrow's liquidityLiquidity Forecast
How liquidity evolves over timeParameter Estimates
Aug 19, 2004 to Jul 17, 2026Model Insight
With persistence 0.991, illiquidity shocks have a half-life of 80 trading days (~0.3 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 | 1.1829 | 10.40*** |
α ARCH Response to squared shocks | 0.0545 | 11.12*** |
β GARCH Volatility persistence | 0.9369 | 178.36*** |
Spline Coefficients
K=1
| γ1 | -0.0104 | -8.23*** |
Persistence:
0.991
Half-life:
80 days
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