Mitre Realty Empreendimentos Spline ILLIQ Liquidity Analysis
Liquidity prediction for Tuesday, July 21st, 2026
1 Day
5,045.65
decreased by 644.87
1 Week
5,443.70
decreased by 246.82
1 Month
5,257.03
decreased by 433.49
Analysis last updated: Tuesday, July 21, 2026 at 08:14 PM UTC
News Impact Curve
How returns affect tomorrow's liquidityLiquidity Forecast
How liquidity evolves over timeParameter Estimates
Feb 5, 2020 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 66 trading days.
μ
ILLIQ-SMEM Model
Tap to view equation
| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 0.9155 | 7.22*** |
α ARCH Response to squared shocks | 0.1172 | 7.17*** |
β GARCH Volatility persistence | 0.8723 | 52.08*** |
Spline Coefficients
K=1
| γ1 | -0.0878 | -2.48** |
Persistence:
0.990
Half-life:
66 days
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