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V-Lab

News Corp Spline ILLIQ Liquidity Analysis

Liquidity prediction for Thursday, July 16th, 2026

1 Day

110.43

increased by 2.58

1 Week

109.13

increased by 1.28

1 Month

104.07

decreased by 3.78

Analysis last updated: Wednesday, July 15, 2026 at 09:46 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

All

graph of News Corp ILLIQ-SMEM

News Impact Curve

How returns affect tomorrow's liquidity

Liquidity Forecast

How liquidity evolves over time

Parameter Estimates

Jun 19, 2013 to Jul 10, 2026

Model 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 45 trading days.

μ

ILLIQ-SMEM Model

Tap to view equation

ParameterValuet-statistic
ω

const

Unconditional variance weight

1.3594
13.71***
α

ARCH

Response to squared shocks

0.0580
7.64***
β

GARCH

Volatility persistence

0.9267
92.49***
γi Spline Coefficients
K=1
γ1-0.0258
-7.59***

Persistence:

0.985

Half-life:

45 days