Trisul Sa Spline ILLIQ Liquidity Analysis
Liquidity prediction for Wednesday, July 8th, 2026
1 Day
20,992.55
decreased by 698.47
1 Week
20,417.14
decreased by 1,273.88
1 Month
17,251.67
decreased by 4,439.35
Analysis last updated: Wednesday, July 8, 2026 at 11:27 PM UTC
News Impact Curve
How returns affect tomorrow's liquidityLiquidity Forecast
How liquidity evolves over timeParameter Estimates
Oct 19, 2007 to Jul 3, 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 43 trading days.
μ
ILLIQ-SMEM Model
Tap to view equation
| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 0.5675 | 1.51 |
α ARCH Response to squared shocks | 0.1110 | 5.06*** |
β GARCH Volatility persistence | 0.8729 | 46.70*** |
Spline Coefficients
K=10
| γ1 | -2.6920 | -1.53 |
| γ2 | 4.2882 | 1.54 |
| γ3 | -2.0063 | -1.28 |
| γ4 | 0.9650 | 1.08 |
| γ5 | -2.5371 | -4.56*** |
| γ6 | 3.1131 | 7.36*** |
| γ7 | -0.7002 | -1.86* |
| γ8 | -0.5192 | -1.64 |
| γ9 | -0.1008 | -0.37 |
| γ10 | 0.6194 | 1.63 |
Persistence:
0.984
Half-life:
43 days
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