GYFTR Ltd Spline ILLIQ Liquidity Analysis
High-persistence model: shocks decay very slowly, so the theoretical long-run value may not be practically meaningful
Liquidity prediction for Tuesday, July 21st, 2026
1 Day
4,137.50
increased by 185.10
1 Week
4,584.85
increased by 632.45
1 Month
7,623.56
increased by 3,671.16
Analysis last updated: Tuesday, July 21, 2026 at 06:57 PM UTC
News Impact Curve
How returns affect tomorrow's liquidityLiquidity Forecast
How liquidity evolves over timeParameter Estimates
Sep 29, 2008 to Jul 17, 2026Model Insight
With persistence 1.000, illiquidity shocks have a half-life of 77016 trading days (~305.6 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 | 1.0775 | 0.00 |
α ARCH Response to squared shocks | 0.1515 | 0.00 |
β GARCH Volatility persistence | 0.8485 | 0.00 |
Spline Coefficients
K=10
| γ1 | 0.5711 | 0.00 |
| γ2 | -0.1528 | 0.00 |
| γ3 | -2.0576 | 0.00 |
| γ4 | 0.4907 | 0.00 |
| γ5 | 4.0366 | 0.00 |
| γ6 | -2.6197 | 0.00 |
| γ7 | -3.7774 | 0.00 |
| γ8 | 6.0911 | 0.03 |
| γ9 | -3.2476 | -0.01 |
| γ10 | 0.5246 | 0.00 |
Persistence:
1.000
Half-life:
77016 days
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