Gtv Engineering Limited Spline ILLIQ Liquidity Analysis
Liquidity prediction for Monday, July 20th, 2026
1 Day
4,626.94
decreased by 621.84
1 Week
4,531.96
decreased by 716.82
1 Month
4,417.93
decreased by 830.85
Analysis last updated: Saturday, July 18, 2026 at 11:52 PM UTC
News Impact Curve
How returns affect tomorrow's liquidityLiquidity Forecast
How liquidity evolves over timeParameter Estimates
Nov 27, 2015 to Jul 17, 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 4 trading days.
μ
ILLIQ-SMEM Model
Tap to view equation
| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 1.6100 | 1.85* |
α ARCH Response to squared shocks | 0.2934 | 7.51*** |
β GARCH Volatility persistence | 0.5358 | 8.50*** |
Spline Coefficients
K=10
| γ1 | 0.8158 | 0.31 |
| γ2 | -0.1816 | -0.06 |
| γ3 | -2.7823 | -1.44 |
| γ4 | -2.6288 | -1.04 |
| γ5 | 11.8136 | 4.20*** |
| γ6 | -8.4836 | -3.61*** |
| γ7 | 2.8989 | 1.22 |
| γ8 | -5.3946 | -1.79* |
| γ9 | 7.8264 | 2.63*** |
| γ10 | -6.4864 | -2.59*** |
Persistence:
0.829
Half-life:
4 days
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