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V-Lab

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

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

All

graph of Oxford Lane Capital Corp. ILLIQ-SMEM

News Impact Curve

How returns affect tomorrow's liquidity

Liquidity Forecast

How liquidity evolves over time

Parameter Estimates

Jan 20, 2011 to Jul 10, 2026

Model 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

ParameterValuet-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***
γi Spline Coefficients
K=1
γ10.0021
0.30

Persistence:

0.993

Half-life:

101 days