Net Insight AB Spline ILLIQ Liquidity Analysis
Liquidity prediction for Wednesday, July 8th, 2026
1 Day
11,419.54
increased by 1,834.88
1 Week
9,848.35
increased by 263.69
1 Month
10,333.01
increased by 748.35
Analysis last updated: Wednesday, July 8, 2026 at 10:59 PM UTC
News Impact Curve
How returns affect tomorrow's liquidityLiquidity Forecast
How liquidity evolves over timeParameter Estimates
Jun 7, 1999 to Jul 3, 2026Model Insight
With persistence 0.999, illiquidity shocks have a half-life of 1028 trading days (~4.1 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 | 1.1094 | 7.29*** |
α ARCH Response to squared shocks | 0.1193 | 16.13*** |
β GARCH Volatility persistence | 0.8800 | 118.31*** |
Spline Coefficients
K=1
| γ1 | -0.0042 | -1.26 |
Persistence:
0.999
Half-life:
1028 days
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