Sun Communities Inc Spline ILLIQ Liquidity Analysis
Liquidity prediction for Monday, July 20th, 2026
1 Day
71.09
decreased by 4.88
1 Week
78.17
increased by 2.20
1 Month
84.37
increased by 8.40
Analysis last updated: Friday, July 17, 2026 at 11:19 PM UTC
News Impact Curve
How returns affect tomorrow's liquidityLiquidity Forecast
How liquidity evolves over timeParameter Estimates
Dec 9, 1993 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 54 trading days.
μ
ILLIQ-SMEM Model
Tap to view equation
| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 3.4536 | 9.88*** |
α ARCH Response to squared shocks | 0.0900 | 13.67*** |
β GARCH Volatility persistence | 0.8972 | 118.67*** |
Spline Coefficients
K=1
| γ1 | -0.0005 | -0.65 |
Persistence:
0.987
Half-life:
54 days
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