NVIDIA Corp Spline ILLIQ Liquidity Analysis
High-persistence model: shocks decay very slowly, so the theoretical long-run value may not be practically meaningful
Liquidity prediction for Thursday, July 9th, 2026
1 Day
0.62
increased by 0.07
1 Week
0.59
increased by 0.04
1 Month
0.64
increased by 0.09
Analysis last updated: Wednesday, July 8, 2026 at 11:50 PM UTC
News Impact Curve
How returns affect tomorrow's liquidityLiquidity Forecast
How liquidity evolves over timeParameter Estimates
Jan 22, 1999 to Jul 2, 2026Model Insight
With persistence 1.000, illiquidity shocks have a half-life of 693147 trading days (~2750.6 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 | 1.0617 | 2.05** |
α ARCH Response to squared shocks | 0.0937 | 0.02 |
β GARCH Volatility persistence | 0.9063 | 0.17 |
Spline Coefficients
K=1
| γ1 | 0.0130 | 0.03 |
Persistence:
1.000
Half-life:
693147 days
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