Chicago Atlantic BDC Inc Spline ILLIQ Liquidity Analysis
Liquidity prediction for Thursday, July 16th, 2026
1 Day
11,221.15
decreased by 854.84
1 Week
12,784.44
increased by 708.45
1 Month
12,435.66
increased by 359.67
Analysis last updated: Wednesday, July 15, 2026 at 09:46 PM UTC
News Impact Curve
How returns affect tomorrow's liquidityLiquidity Forecast
How liquidity evolves over timeParameter Estimates
Feb 4, 2022 to Jul 10, 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 2 trading days.
μ
ILLIQ-SMEM Model
Tap to view equation
| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 1.0279 | 3.89*** |
α ARCH Response to squared shocks | 0.1634 | 3.72*** |
β GARCH Volatility persistence | 0.5900 | 6.00*** |
Spline Coefficients
K=4
| γ1 | -3.7734 | -5.94*** |
| γ2 | 5.3273 | 6.06*** |
| γ3 | -2.4010 | -4.32*** |
| γ4 | 1.2648 | 2.04** |
Persistence:
0.753
Half-life:
2 days
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