Skip to main content
V-Lab

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

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

All

graph of Precot Ltd ILLIQ-SMEM

News Impact Curve

How returns affect tomorrow's liquidity

Liquidity Forecast

How liquidity evolves over time

Parameter Estimates

May 24, 2013 to Jul 17, 2026

Model 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

ParameterValuet-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***
γi Spline Coefficients
K=8
γ1-0.6880
-0.60
γ22.6900
1.60
γ3-3.7729
-3.17***
γ40.0125
0.01
γ55.0345
4.80***
γ6-5.4226
-6.21***
γ74.0404
4.11***
γ8-3.4036
-3.08***

Persistence:

0.998

Half-life:

393 days