SAN Miguel Corp Spline ILLIQ Liquidity Analysis
Liquidity prediction for Monday, July 13th, 2026
1 Day
2,678.88
decreased by 452.34
1 Week
2,616.48
decreased by 514.74
1 Month
2,731.88
decreased by 399.34
Analysis last updated: Sunday, July 12, 2026 at 12:33 AM UTC
News Impact Curve
How returns affect tomorrow's liquidityLiquidity Forecast
How liquidity evolves over timeParameter Estimates
Jun 24, 1994 to Jul 10, 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 21 trading days.
μ
ILLIQ-SMEM Model
Tap to view equation
| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 0.8582 | 5.26*** |
α ARCH Response to squared shocks | 0.1363 | 9.15*** |
β GARCH Volatility persistence | 0.8315 | 45.49*** |
Spline Coefficients
K=10
| γ1 | -0.1457 | -1.48 |
| γ2 | 0.3206 | 1.95* |
| γ3 | -0.4198 | -3.25*** |
| γ4 | 0.5074 | 4.36*** |
| γ5 | -0.6918 | -5.25*** |
| γ6 | 0.9273 | 8.17*** |
| γ7 | -0.8419 | -10.78*** |
| γ8 | 0.6015 | 7.86*** |
| γ9 | -0.4375 | -5.48*** |
| γ10 | 0.3502 | 2.76*** |
Persistence:
0.968
Half-life:
21 days
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