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V-Lab

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

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

All

graph of Net Insight AB ILLIQ-SMEM

News Impact Curve

How returns affect tomorrow's liquidity

Liquidity Forecast

How liquidity evolves over time

Parameter Estimates

Jun 7, 1999 to Jul 3, 2026

Model 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

ParameterValuet-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***
γi Spline Coefficients
K=1
γ1-0.0042
-1.26

Persistence:

0.999

Half-life:

1028 days