Perpetual Equity Investment Company Limited Spline ILLIQ Liquidity Analysis
Liquidity prediction for Wednesday, July 15th, 2026
1 Day
24,332.62
decreased by 2,650.61
1 Week
25,236.30
decreased by 1,746.93
1 Month
24,276.21
decreased by 2,707.02
Analysis last updated: Wednesday, July 15, 2026 at 06:09 PM UTC
News Impact Curve
How returns affect tomorrow's liquidityLiquidity Forecast
How liquidity evolves over timeParameter Estimates
Dec 18, 2014 to Jul 10, 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 13 trading days.
μ
ILLIQ-SMEM Model
Tap to view equation
| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 1.5508 | 11.20*** |
α ARCH Response to squared shocks | 0.1051 | 6.38*** |
β GARCH Volatility persistence | 0.8420 | 35.96*** |
Spline Coefficients
K=1
| γ1 | -0.0085 | -1.98** |
Persistence:
0.947
Half-life:
13 days
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