Our Bond Inc Spline ILLIQ Liquidity Analysis
Liquidity prediction for Tuesday, July 21st, 2026
1 Day
107,160.40
decreased by 91,472.30
1 Week
131,564.04
decreased by 67,068.66
1 Month
94,481.63
decreased by 104,151.07
Analysis last updated: Monday, July 20, 2026 at 09:30 PM UTC
News Impact Curve
How returns affect tomorrow's liquidityLiquidity Forecast
How liquidity evolves over timeParameter Estimates
Feb 4, 2026 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 2 trading days.
μ
ILLIQ-SMEM Model
Tap to view equation
| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 1.1232 | 3.78*** |
α ARCH Response to squared shocks | 0.3636 | 3.94*** |
β GARCH Volatility persistence | 0.3753 | 2.78*** |
Spline Coefficients
K=1
| γ1 | -13.3061 | -1.31 |
Persistence:
0.739
Half-life:
2 days
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