V-Lab
Cloudflare Inc Spline ILLIQ Liquidity Analysis
Illiquidity prediction for Monday, September 21st, 2026
1 Day
31.56
decreased by 0.89
1 Week
33.91
increased by 1.46
1 Month
35.91
increased by 3.46
Analysis last updated: Friday, September 18, 2026 at 11:38 PM UTC
News Impact Curve
How returns affect tomorrow's illiquidityIlliquidity Forecast
How illiquidity evolves over timeParameter Estimates
Sep 13, 2019 to Sep 18, 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 62 trading days.
μ
ILLIQ-SMEM Model
Tap to view equation
Time-varying baseline: illiquidity reverts to a slowly-shifting spline trend
| Param | Value | t-stat |
|---|---|---|
| ωconst | 1.0238 | 7.17*** |
| αARCH | 0.0829 | 7.96*** |
| βGARCH | 0.9060 | 81.08*** |
Spline Coefficients
K=1
| γ1 | -0.0502 | -2.55** |
0.989
Persistence62d
Half-lifeμ
ILLIQ-SMEM Model
Tap to view equation
| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 1.0238 | 7.17*** |
α ARCH Response to squared shocks | 0.0829 | 7.96*** |
β GARCH Volatility persistence | 0.9060 | 81.08*** |
Spline Coefficients
K=1
| γ1 | -0.0502 | -2.55** |
Persistence:
0.989
Half-life:
62 days
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