Ferrari NV Spline ILLIQ Liquidity Analysis
Liquidity prediction for Wednesday, July 15th, 2026
1 Day
83.17
increased by 0.74
1 Week
81.66
decreased by 0.77
1 Month
86.55
increased by 4.12
Analysis last updated: Wednesday, July 15, 2026 at 07:40 PM UTC
News Impact Curve
How returns affect tomorrow's liquidityLiquidity Forecast
How liquidity evolves over timeParameter Estimates
Jan 4, 2016 to Jul 10, 2026Model Insight
With persistence 0.994, illiquidity shocks have a half-life of 116 trading days (~0.5 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 | 1.2025 | 9.79*** |
α ARCH Response to squared shocks | 0.0422 | 6.69*** |
β GARCH Volatility persistence | 0.9519 | 140.98*** |
Spline Coefficients
K=1
| γ1 | -0.0308 | -4.22*** |
Persistence:
0.994
Half-life:
116 days
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