RTX Corp Spline ILLIQ Liquidity Analysis
High-persistence model: shocks decay very slowly, so the theoretical long-run value may not be practically meaningful
Liquidity prediction for Wednesday, July 22nd, 2026
1 Day
12.71
decreased by 0.32
1 Week
13.39
increased by 0.36
1 Month
14.07
increased by 1.04
Analysis last updated: Tuesday, July 21, 2026 at 09:53 PM UTC
News Impact Curve
How returns affect tomorrow's liquidityLiquidity Forecast
How liquidity evolves over timeParameter Estimates
Jan 2, 1990 to Jul 17, 2026Model Insight
With persistence 1.000, illiquidity shocks have a half-life of 173286 trading days (~687.6 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 | 1.0009 | 6.79*** |
α ARCH Response to squared shocks | 0.0462 | 2.52** |
β GARCH Volatility persistence | 0.9538 | 52.06*** |
Spline Coefficients
K=1
| γ1 | -0.0087 | -1.29 |
Persistence:
1.000
Half-life:
173286 days
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