Occl Ltd Spline ILLIQ Liquidity Analysis
Liquidity prediction for Tuesday, July 21st, 2026
1 Day
3,757.86
decreased by 464.47
1 Week
4,835.24
increased by 612.91
1 Month
5,096.92
increased by 874.59
Analysis last updated: Tuesday, July 21, 2026 at 07:09 PM UTC
News Impact Curve
How returns affect tomorrow's liquidityLiquidity Forecast
How liquidity evolves over timeParameter Estimates
Oct 29, 2024 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 8 trading days.
μ
ILLIQ-SMEM Model
Tap to view equation
| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 1.2288 | 7.49*** |
α ARCH Response to squared shocks | 0.1527 | 4.36*** |
β GARCH Volatility persistence | 0.7630 | 14.40*** |
Spline Coefficients
K=1
| γ1 | -0.3803 | -1.11 |
Persistence:
0.916
Half-life:
8 days
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