Quanex Building Products Corp Spline ILLIQ Liquidity Analysis
Liquidity prediction for Monday, July 20th, 2026
1 Day
5,177.48
decreased by 66.37
1 Week
5,199.72
decreased by 44.13
1 Month
4,731.52
decreased by 512.33
Analysis last updated: Friday, July 17, 2026 at 11:12 PM UTC
News Impact Curve
How returns affect tomorrow's liquidityLiquidity Forecast
How liquidity evolves over timeParameter Estimates
Jan 2, 1990 to Jul 17, 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 63 trading days.
μ
ILLIQ-SMEM Model
Tap to view equation
| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 1.7764 | 7.09*** |
α ARCH Response to squared shocks | 0.1100 | 10.03*** |
β GARCH Volatility persistence | 0.8790 | 90.90*** |
Spline Coefficients
K=3
| γ1 | -0.0220 | -5.68*** |
| γ2 | 0.0416 | 7.38*** |
| γ3 | -0.0357 | -7.26*** |
Persistence:
0.989
Half-life:
63 days
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