Pramara Promotions Ltd Spline ILLIQ Liquidity Analysis
Liquidity prediction for Wednesday, July 15th, 2026
1 Day
5,701.33
decreased by 1,477.70
1 Week
5,440.86
decreased by 1,738.17
1 Month
5,605.36
decreased by 1,573.67
Analysis last updated: Wednesday, July 15, 2026 at 07:32 PM UTC
News Impact Curve
How returns affect tomorrow's liquidityLiquidity Forecast
How liquidity evolves over timeParameter Estimates
Sep 13, 2023 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 8 trading days.
μ
ILLIQ-SMEM Model
Tap to view equation
| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 1.4976 | 4.36*** |
α ARCH Response to squared shocks | 0.3244 | 5.10*** |
β GARCH Volatility persistence | 0.5947 | 9.93*** |
Spline Coefficients
K=4
| γ1 | 0.1062 | 0.04 |
| γ2 | -4.0025 | -1.10 |
| γ3 | 4.6920 | 1.93* |
| γ4 | 7.8272 | 2.23** |
Persistence:
0.919
Half-life:
8 days
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