V-Lab
Troax Group AB Spline ILLIQ Liquidity Analysis
Illiquidity prediction for Monday, July 27th, 2026
1 Day
4,351.02
increased by 555.02
1 Week
3,829.88
increased by 33.88
1 Month
4,251.54
increased by 455.54
Analysis last updated: Sunday, July 26, 2026 at 05:11 AM UTC
News Impact Curve
How returns affect tomorrow's illiquidityIlliquidity Forecast
How illiquidity evolves over timeParameter Estimates
Mar 27, 2015 to Jul 24, 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 20 trading days.
μ
ILLIQ-SMEM Model
Tap to view equation
| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 2.5381 | 10.67*** |
α ARCH Response to squared shocks | 0.1091 | 7.81*** |
β GARCH Volatility persistence | 0.8565 | 45.53*** |
Spline Coefficients
K=1
| γ1 | 0.0165 | 3.55*** |
Persistence:
0.966
Half-life:
20 days
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