Southern Fertilizers JSC Spline ILLIQ Liquidity Analysis
Liquidity prediction for Wednesday, July 8th, 2026
1 Day
17,411.37
increased by 13,447.89
1 Week
8,108.43
increased by 4,144.95
1 Month
3,982.65
increased by 19.17
Analysis last updated: Wednesday, July 8, 2026 at 11:20 PM UTC
News Impact Curve
How returns affect tomorrow's liquidityLiquidity Forecast
How liquidity evolves over timeParameter Estimates
Dec 1, 2014 to Jun 26, 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 57 trading days.
μ
ILLIQ-SMEM Model
Tap to view equation
| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 4.2230 | 1.42 |
α ARCH Response to squared shocks | 0.3588 | 7.99*** |
β GARCH Volatility persistence | 0.6291 | 17.29*** |
Spline Coefficients
K=10
| γ1 | -0.0363 | -0.03 |
| γ2 | -2.3854 | -1.01 |
| γ3 | 6.6058 | 3.37*** |
| γ4 | -5.5901 | -2.88*** |
| γ5 | -0.4520 | -0.22 |
| γ6 | 1.3906 | 1.03 |
| γ7 | 4.4613 | 2.14** |
| γ8 | -7.4338 | -3.68*** |
| γ9 | 5.8178 | 3.76*** |
| γ10 | -4.5182 | -2.80*** |
Persistence:
0.988
Half-life:
57 days
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