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
News Impact Curve
How returns affect tomorrow's liquidityLiquidity Forecast
How liquidity evolves over timeParameter Estimates
Jun 19, 2013 to Jul 10, 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 45 trading days.
μ
ILLIQ-SMEM Model
Tap to view equation
| Parameter | Value | t-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*** |
Spline Coefficients
K=1
| γ1 | -0.0258 | -7.59*** |
Persistence:
0.985
Half-life:
45 days
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