Microsoft Corp Spline ILLIQ Liquidity Analysis
Liquidity prediction for Wednesday, July 22nd, 2026
1 Day
1.17
unchanged at 0.00
1 Week
1.14
decreased by 0.03
1 Month
1.13
decreased by 0.04
Analysis last updated: Tuesday, July 21, 2026 at 09:29 PM UTC
News Impact Curve
How returns affect tomorrow's liquidityLiquidity Forecast
How liquidity evolves over timeParameter Estimates
Jan 2, 1990 to Jul 17, 2026Model Insight
With persistence 0.998, illiquidity shocks have a half-life of 292 trading days (~1.2 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 | 0.9825 | 7.87*** |
α ARCH Response to squared shocks | 0.0528 | 14.65*** |
β GARCH Volatility persistence | 0.9448 | 253.99*** |
Spline Coefficients
K=1
| γ1 | -0.0018 | -2.57** |
Persistence:
0.998
Half-life:
292 days
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