Home Depot Inc/The Spline ILLIQ Liquidity Analysis
Liquidity prediction for Tuesday, July 21st, 2026
1 Day
11.32
increased by 0.22
1 Week
10.89
decreased by 0.21
1 Month
10.23
decreased by 0.87
Analysis last updated: Monday, July 20, 2026 at 09:44 PM UTC
News Impact Curve
How returns affect tomorrow's liquidityLiquidity Forecast
How liquidity evolves over timeParameter Estimates
Jan 2, 1990 to Jul 17, 2026Model Insight
With persistence 0.997, illiquidity shocks have a half-life of 247 trading days (~1.0 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 | 1.0273 | 7.05*** |
α ARCH Response to squared shocks | 0.0526 | 14.04*** |
β GARCH Volatility persistence | 0.9446 | 247.66*** |
Spline Coefficients
K=1
| γ1 | -0.0015 | -1.94* |
Persistence:
0.997
Half-life:
247 days
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