Murphy USA Inc Spline ILLIQ Liquidity Analysis
Liquidity prediction for Tuesday, July 21st, 2026
1 Day
123.32
decreased by 3.62
1 Week
120.37
decreased by 6.57
1 Month
108.23
decreased by 18.71
Analysis last updated: Monday, July 20, 2026 at 09:47 PM UTC
News Impact Curve
How returns affect tomorrow's liquidityLiquidity Forecast
How liquidity evolves over timeParameter Estimates
Aug 19, 2013 to Jul 17, 2026Model Insight
With persistence 0.997, illiquidity shocks have a half-life of 205 trading days (~0.8 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 | 0.9661 | 6.74*** |
α ARCH Response to squared shocks | 0.0527 | 8.19*** |
β GARCH Volatility persistence | 0.9439 | 141.30*** |
Spline Coefficients
K=1
| γ1 | -0.0314 | -3.56*** |
Persistence:
0.997
Half-life:
205 days
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