Siam Wellness Group Spline ILLIQ Liquidity Analysis
Liquidity prediction for Tuesday, July 21st, 2026
1 Day
2,098.38
increased by 39.68
1 Week
1,932.92
decreased by 125.78
1 Month
1,401.87
decreased by 656.83
Analysis last updated: Tuesday, July 21, 2026 at 07:59 PM UTC
News Impact Curve
How returns affect tomorrow's liquidityLiquidity Forecast
How liquidity evolves over timeParameter Estimates
Nov 3, 2014 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 40 trading days.
μ
ILLIQ-SMEM Model
Tap to view equation
| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 1.4182 | 6.92*** |
α ARCH Response to squared shocks | 0.1670 | 11.79*** |
β GARCH Volatility persistence | 0.8157 | 56.47*** |
Spline Coefficients
K=1
| γ1 | -0.0136 | -1.08 |
Persistence:
0.983
Half-life:
40 days
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