Hindusthan Vidyut Products Spline ILLIQ Liquidity Analysis
Liquidity prediction for Tuesday, July 7th, 2026
1 Day
10,396.47
increased by 3,636.63
1 Week
10,396.47
increased by 3,636.63
1 Month
5,859.66
decreased by 900.18
Analysis last updated: Tuesday, July 7, 2026 at 06:54 PM UTC
News Impact Curve
How returns affect tomorrow's liquidityLiquidity Forecast
How liquidity evolves over timeParameter Estimates
Jul 28, 2016 to May 8, 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 14 trading days.
μ
ILLIQ-SMEM Model
Tap to view equation
| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 1.8742 | 3.02*** |
α ARCH Response to squared shocks | 0.2204 | 5.61*** |
β GARCH Volatility persistence | 0.7303 | 16.55*** |
Spline Coefficients
K=7
| γ1 | 1.7815 | 2.51** |
| γ2 | -3.3611 | -3.11*** |
| γ3 | 0.9452 | 1.18 |
| γ4 | 2.7591 | 3.76*** |
| γ5 | -3.4016 | -4.98*** |
| γ6 | 2.1417 | 2.42** |
| γ7 | -3.4750 | -3.09*** |
Persistence:
0.951
Half-life:
14 days
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