V-Lab
Gold Royalty Corp Spline ILLIQ Liquidity Analysis
Illiquidity prediction for Monday, August 24th, 2026
1 Day
2,699.79
decreased by 144.26
1 Week
2,791.27
decreased by 52.78
1 Month
2,991.14
increased by 147.09
Analysis last updated: Friday, August 21, 2026 at 11:15 PM UTC
News Impact Curve
How returns affect tomorrow's illiquidityIlliquidity Forecast
How illiquidity evolves over timeParameter Estimates
Mar 9, 2021 to Aug 21, 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 48 trading days.
μ
ILLIQ-SMEM Model
Tap to view equation
| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 0.9998 | 5.86*** |
α ARCH Response to squared shocks | 0.1469 | 6.68*** |
β GARCH Volatility persistence | 0.8388 | 39.99*** |
Spline Coefficients
K=1
| γ1 | -0.2802 | -5.12*** |
Persistence:
0.986
Half-life:
48 days
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