Baillie Gifford US Growth Trust PLC Spline ILLIQ Liquidity Analysis
Liquidity prediction for Wednesday, July 15th, 2026
1 Day
11,141.88
decreased by 565.48
1 Week
8,785.28
decreased by 2,922.08
1 Month
6,707.28
decreased by 5,000.08
Analysis last updated: Wednesday, July 15, 2026 at 09:05 PM UTC
News Impact Curve
How returns affect tomorrow's liquidityLiquidity Forecast
How liquidity evolves over timeParameter Estimates
Mar 23, 2018 to Jul 10, 2026Model Insight
With persistence 0.995, illiquidity shocks have a half-life of 154 trading days (~0.6 years), close to a unit root, so long-run forecasts are highly sensitive to this estimate.
μ
ILLIQ-SMEM Model
Tap to view equation
| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 1.0021 | 4.16*** |
α ARCH Response to squared shocks | 0.0792 | 7.60*** |
β GARCH Volatility persistence | 0.9163 | 88.49*** |
Spline Coefficients
K=1
| γ1 | -0.0336 | -1.32 |
Persistence:
0.995
Half-life:
154 days
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