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V-Lab

MasterCard Inc Spline ILLIQ Liquidity Analysis

Liquidity prediction for Tuesday, July 21st, 2026

1 Day

8.21

decreased by 0.15

1 Week

8.00

decreased by 0.36

1 Month

7.45

decreased by 0.91

Analysis last updated: Monday, July 20, 2026 at 09:46 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

All

graph of MasterCard Inc ILLIQ-SMEM

News Impact Curve

How returns affect tomorrow's liquidity

Liquidity Forecast

How liquidity evolves over time

Parameter Estimates

May 25, 2006 to Jul 17, 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 36 trading days.

μ

ILLIQ-SMEM Model

Tap to view equation

ParameterValuet-statistic
ω

const

Unconditional variance weight

2.1217
15.84***
α

ARCH

Response to squared shocks

0.0565
8.60***
β

GARCH

Volatility persistence

0.9245
124.18***
γi Spline Coefficients
K=1
γ1-0.0041
-3.72***

Persistence:

0.981

Half-life:

36 days