PPHE Hotel Group Limited Spline ILLIQ Liquidity Analysis
Liquidity prediction for Wednesday, July 15th, 2026
1 Day
48,286.80
decreased by 1,098.26
1 Week
53,258.57
increased by 3,873.51
1 Month
47,564.68
decreased by 1,820.38
Analysis last updated: Wednesday, July 15, 2026 at 09:09 PM UTC
News Impact Curve
How returns affect tomorrow's liquidityLiquidity Forecast
How liquidity evolves over timeParameter Estimates
Jul 11, 2007 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 1 trading day.
μ
ILLIQ-SMEM Model
Tap to view equation
| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 0.7965 | 2.94*** |
α ARCH Response to squared shocks | 0.2870 | 4.67*** |
β GARCH Volatility persistence | 0.0000 | 0.00 |
Spline Coefficients
K=9
| γ1 | -1.9534 | -7.05*** |
| γ2 | 2.6450 | 7.18*** |
| γ3 | -0.6621 | -3.21*** |
| γ4 | -0.1547 | -0.74 |
| γ5 | 0.1990 | 0.78 |
| γ6 | 0.7621 | 1.99** |
| γ7 | -2.2365 | -3.28*** |
| γ8 | 1.7747 | 2.22** |
| γ9 | 0.1269 | 0.17 |
Persistence:
0.287
Half-life:
1 days
Other PPHE Hotel Group Limited Analyses
Other Spline ILLIQ Analyses on International Equities