Reach Subsea Asa Spline ILLIQ Liquidity Analysis
Liquidity prediction for Tuesday, July 21st, 2026
1 Day
25,148.64
increased by 2,823.70
1 Week
21,411.10
decreased by 913.84
1 Month
22,111.02
decreased by 213.92
Analysis last updated: Tuesday, July 21, 2026 at 07:38 PM UTC
News Impact Curve
How returns affect tomorrow's liquidityLiquidity Forecast
How liquidity evolves over timeParameter Estimates
Oct 5, 1992 to Jul 17, 2026Model Insight
With persistence 0.999, illiquidity shocks have a half-life of 521 trading days (~2.1 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 | 26.6602 | 2.79*** |
α ARCH Response to squared shocks | 0.0791 | 6.36*** |
β GARCH Volatility persistence | 0.9196 | 74.54*** |
Spline Coefficients
K=9
| γ1 | -0.4167 | -0.55 |
| γ2 | 0.9687 | 0.63 |
| γ3 | -0.0250 | -0.02 |
| γ4 | -0.9217 | -0.87 |
| γ5 | 2.2639 | 2.12** |
| γ6 | -4.4351 | -4.19*** |
| γ7 | 3.6550 | 6.02*** |
| γ8 | -1.6315 | -6.31*** |
| γ9 | 1.1978 | 3.65*** |
Persistence:
0.999
Half-life:
521 days
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