Reliable Data Services Ltd Spline ILLIQ Liquidity Analysis
Liquidity prediction for Tuesday, July 21st, 2026
1 Day
7,571.47
increased by 1,808.36
1 Week
5,083.08
decreased by 680.03
1 Month
4,393.64
decreased by 1,369.47
Analysis last updated: Tuesday, July 21, 2026 at 07:09 PM UTC
News Impact Curve
How returns affect tomorrow's liquidityLiquidity Forecast
How liquidity evolves over timeParameter Estimates
Oct 25, 2017 to Jul 17, 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 6 trading days.
μ
ILLIQ-SMEM Model
Tap to view equation
| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 0.9160 | 5.45*** |
α ARCH Response to squared shocks | 0.2773 | 8.75*** |
β GARCH Volatility persistence | 0.6177 | 12.78*** |
Spline Coefficients
K=2
| γ1 | -0.4941 | -4.55*** |
| γ2 | 0.3587 | 1.78* |
Persistence:
0.895
Half-life:
6 days
Other Reliable Data Services Ltd Analyses
Other Spline ILLIQ Analyses on International Equities