Oxford Lane Capital Corp. Spline ILLIQ Liquidity Analysis
Liquidity prediction for Wednesday, July 15th, 2026
1 Day
1,197.61
decreased by 37.95
1 Week
1,270.02
increased by 34.46
1 Month
1,323.63
increased by 88.07
Analysis last updated: Tuesday, July 14, 2026 at 09:28 PM UTC
News Impact Curve
How returns affect tomorrow's liquidityLiquidity Forecast
How liquidity evolves over timeParameter Estimates
Jan 20, 2011 to Jul 10, 2026Model Insight
With persistence 0.993, illiquidity shocks have a half-life of 101 trading days (~0.4 years), close to a unit root, so long-run forecasts are highly sensitive to this estimate.
μ
ILLIQ-SMEM Model
Tap to view equation
| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 2.2289 | 3.54*** |
α ARCH Response to squared shocks | 0.1178 | 10.51*** |
β GARCH Volatility persistence | 0.8753 | 67.27*** |
Spline Coefficients
K=1
| γ1 | 0.0021 | 0.30 |
Persistence:
0.993
Half-life:
101 days
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