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
News Impact Curve
How returns affect tomorrow's liquidityLiquidity Forecast
How liquidity evolves over timeParameter Estimates
May 25, 2006 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 36 trading days.
μ
ILLIQ-SMEM Model
Tap to view equation
| Parameter | Value | t-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*** |
Spline Coefficients
K=1
| γ1 | -0.0041 | -3.72*** |
Persistence:
0.981
Half-life:
36 days
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