Managem SA Spline ILLIQ Liquidity Analysis
Liquidity prediction for Wednesday, July 22nd, 2026
1 Day
7,567.71
increased by 5,537.17
1 Week
3,493.80
increased by 1,463.26
1 Month
2,768.49
increased by 737.95
Analysis last updated: Wednesday, July 22, 2026 at 08:07 PM UTC
News Impact Curve
How returns affect tomorrow's liquidityLiquidity Forecast
How liquidity evolves over timeParameter Estimates
Jul 12, 2000 to Jul 17, 2026Model Insight
With persistence 0.998, illiquidity shocks have a half-life of 420 trading days (~1.7 years), close to a unit root, so long-run forecasts are highly sensitive to this estimate.
μ
ILLIQ-SMEM Model
Tap to view equation
| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 0.7364 | 2.34** |
α ARCH Response to squared shocks | 0.1325 | 9.77*** |
β GARCH Volatility persistence | 0.8659 | 62.46*** |
Spline Coefficients
K=6
| γ1 | -0.4189 | -4.95*** |
| γ2 | 0.4561 | 3.81*** |
| γ3 | 0.1362 | 1.39 |
| γ4 | -0.3789 | -3.23*** |
| γ5 | 0.4817 | 3.92*** |
| γ6 | -0.9495 | -4.68*** |
Persistence:
0.998
Half-life:
420 days
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