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
News Impact Curve
How returns affect tomorrow's liquidityLiquidity Forecast
How liquidity evolves over timeParameter Estimates
Jun 10, 2019 to Jul 3, 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 9 trading days.
μ
ILLIQ-SMEM Model
Tap to view equation
| Parameter | Value | t-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*** |
Spline Coefficients
K=8
| γ1 | 1.7327 | 0.37 |
| γ2 | -7.9722 | -1.14 |
| γ3 | 13.3135 | 3.20*** |
| γ4 | -11.5639 | -3.96*** |
| γ5 | 7.2784 | 3.05*** |
| γ6 | -2.6568 | -1.79* |
| γ7 | -0.3127 | -0.36 |
| γ8 | -0.0136 | -0.01 |
Persistence:
0.923
Half-life:
9 days
Other Klaveness Combination Carrie Analyses
Other Spline ILLIQ Analyses on International Equities