V-Lab
Gold Royalty Corp Spline ILLIQ Liquidity Analysis
Illiquidity prediction for Monday, August 17th, 2026
1 Day
2,608.04
decreased by 145.51
1 Week
2,744.02
decreased by 9.53
1 Month
3,092.32
increased by 338.77
Analysis last updated: Friday, August 14, 2026 at 11:02 PM UTC
News Impact Curve
How returns affect tomorrow's illiquidityIlliquidity Forecast
How illiquidity evolves over timeParameter Estimates
Mar 9, 2021 to Aug 14, 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 47 trading days.
μ
ILLIQ-SMEM Model
Tap to view equation
| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 0.9972 | 5.81*** |
α ARCH Response to squared shocks | 0.1474 | 6.66*** |
β GARCH Volatility persistence | 0.8380 | 39.67*** |
Spline Coefficients
K=1
| γ1 | -0.2814 | -5.19*** |
Persistence:
0.985
Half-life:
47 days
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