Precot Ltd Spline ILLIQ Liquidity Analysis
Liquidity prediction for Wednesday, July 22nd, 2026
1 Day
6,350.79
increased by 45.74
1 Week
7,922.02
increased by 1,616.97
1 Month
9,286.60
increased by 2,981.55
Analysis last updated: Wednesday, July 22, 2026 at 07:10 PM UTC
News Impact Curve
How returns affect tomorrow's liquidityLiquidity Forecast
How liquidity evolves over timeParameter Estimates
May 24, 2013 to Jul 17, 2026Model Insight
With persistence 0.998, illiquidity shocks have a half-life of 393 trading days (~1.6 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 | 3.5677 | 1.70* |
α ARCH Response to squared shocks | 0.3613 | 8.98*** |
β GARCH Volatility persistence | 0.6370 | 15.82*** |
Spline Coefficients
K=8
| γ1 | -0.6880 | -0.60 |
| γ2 | 2.6900 | 1.60 |
| γ3 | -3.7729 | -3.17*** |
| γ4 | 0.0125 | 0.01 |
| γ5 | 5.0345 | 4.80*** |
| γ6 | -5.4226 | -6.21*** |
| γ7 | 4.0404 | 4.11*** |
| γ8 | -3.4036 | -3.08*** |
Persistence:
0.998
Half-life:
393 days
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