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Klaveness Combination Carrie Spline ILLIQ Liquidity Analysis

Liquidity prediction for Thursday, July 9th, 2026

1 Day

4,916.09

increased by 128.08

1 Week

4,999.29

increased by 211.28

1 Month

4,087.11

decreased by 700.90

Analysis last updated: Thursday, July 9, 2026 at 08:13 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

All

graph of Klaveness Combination Carrie ILLIQ-SMEM

News Impact Curve

How returns affect tomorrow's liquidity

Liquidity Forecast

How liquidity evolves over time

Parameter Estimates

Jun 10, 2019 to Jul 3, 2026

Model 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 9 trading days.

μ

ILLIQ-SMEM Model

Tap to view equation

ParameterValuet-statistic
ω

const

Unconditional variance weight

3.5933
1.33
α

ARCH

Response to squared shocks

0.1279
2.13**
β

GARCH

Volatility persistence

0.7954
8.01***
γi Spline Coefficients
K=8
γ11.7327
0.37
γ2-7.9722
-1.14
γ313.3135
3.20***
γ4-11.5639
-3.96***
γ57.2784
3.05***
γ6-2.6568
-1.79*
γ7-0.3127
-0.36
γ8-0.0136
-0.01

Persistence:

0.923

Half-life:

9 days