Taaleem Holdings Pjsc Spline ILLIQ Liquidity Analysis
Liquidity prediction for Sunday, July 12th, 2026
1 Day
10,763.64
increased by 1,338.67
1 Week
9,751.41
increased by 326.44
1 Month
10,372.95
increased by 947.98
Analysis last updated: Friday, July 10, 2026 at 06:56 PM UTC
News Impact Curve
How returns affect tomorrow's liquidityLiquidity Forecast
How liquidity evolves over timeParameter Estimates
Nov 29, 2022 to Jul 9, 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 4 trading days.
μ
ILLIQ-SMEM Model
Tap to view equation
| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 0.3600 | 2.11** |
α ARCH Response to squared shocks | 0.1199 | 2.33** |
β GARCH Volatility persistence | 0.7028 | 5.85*** |
Spline Coefficients
K=8
| γ1 | -54.5435 | -6.26*** |
| γ2 | 81.8960 | 7.31*** |
| γ3 | -30.6325 | -5.82*** |
| γ4 | -1.8034 | -0.29 |
| γ5 | 11.8051 | 2.02** |
| γ6 | -13.8317 | -2.47** |
| γ7 | 10.9481 | 1.41 |
| γ8 | -8.0267 | -0.82 |
Persistence:
0.823
Half-life:
4 days
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