Wereldhave Belgium NV Spline ILLIQ Liquidity Analysis
Liquidity prediction for Monday, July 20th, 2026
1 Day
173,254.70
decreased by 19,155.90
1 Week
130,172.67
decreased by 62,237.93
1 Month
91,008.16
decreased by 101,402.44
Analysis last updated: Saturday, July 18, 2026 at 09:01 PM UTC
News Impact Curve
How returns affect tomorrow's liquidityLiquidity Forecast
How liquidity evolves over timeParameter Estimates
Jun 18, 1998 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 18 trading days.
μ
ILLIQ-SMEM Model
Tap to view equation
| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 1.2271 | 7.03*** |
α ARCH Response to squared shocks | 0.1230 | 12.71*** |
β GARCH Volatility persistence | 0.8397 | 63.46*** |
Spline Coefficients
K=6
| γ1 | -0.1419 | -6.35*** |
| γ2 | 0.2082 | 5.82*** |
| γ3 | -0.0937 | -3.23*** |
| γ4 | 0.0114 | 0.41 |
| γ5 | 0.0832 | 3.03*** |
| γ6 | -0.1788 | -4.39*** |
Persistence:
0.963
Half-life:
18 days
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