Skjern Bank 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 Friday, July 17th, 2026
1 Day
3,696.14
decreased by 2.52
1 Week
3,620.44
decreased by 78.22
1 Month
3,712.22
increased by 13.56
Analysis last updated: Friday, July 17, 2026 at 06:48 PM UTC
News Impact Curve
How returns affect tomorrow's liquidityLiquidity Forecast
How liquidity evolves over timeParameter Estimates
Jan 12, 1990 to Jul 10, 2026Model Insight
With persistence 1.000, illiquidity shocks have a half-life of 36481 trading days (~144.8 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 | 1.0091 | 0.75 |
α ARCH Response to squared shocks | 0.0915 | 0.05 |
β GARCH Volatility persistence | 0.9085 | 0.52 |
Spline Coefficients
K=6
| γ1 | -0.4494 | -0.04 |
| γ2 | 0.5366 | 0.04 |
| γ3 | -0.0340 | -0.01 |
| γ4 | -0.2625 | -0.11 |
| γ5 | 0.5454 | 0.38 |
| γ6 | -1.2664 | -5.49*** |
Persistence:
1.000
Half-life:
36481 days
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