Knowledge Realty Trust Spline ILLIQ Liquidity Analysis
Liquidity prediction for Monday, July 20th, 2026
1 Day
201.83
decreased by 99.10
1 Week
210.13
decreased by 90.80
1 Month
142.15
decreased by 158.78
Analysis last updated: Sunday, July 19, 2026 at 12:39 AM UTC
News Impact Curve
How returns affect tomorrow's liquidityLiquidity Forecast
How liquidity evolves over timeParameter Estimates
Aug 18, 2025 to Jul 17, 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 5 trading days.
μ
ILLIQ-SMEM Model
Tap to view equation
| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 1.1089 | 6.06*** |
α ARCH Response to squared shocks | 0.2569 | 2.86*** |
β GARCH Volatility persistence | 0.6035 | 4.84*** |
Spline Coefficients
K=1
| γ1 | -3.3706 | -1.91* |
Persistence:
0.860
Half-life:
5 days
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