XMAX Inc Spline ILLIQ Liquidity Analysis
Liquidity prediction for Thursday, July 23rd, 2026
1 Day
1,673.17
decreased by 285.24
1 Week
1,472.90
decreased by 485.51
1 Month
1,907.42
decreased by 50.99
Analysis last updated: Wednesday, July 22, 2026 at 09:14 PM UTC
News Impact Curve
How returns affect tomorrow's liquidityLiquidity Forecast
How liquidity evolves over timeParameter Estimates
Sep 14, 2011 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 36 trading days.
μ
ILLIQ-SMEM Model
Tap to view equation
| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 6.7400 | 3.15*** |
α ARCH Response to squared shocks | 0.2201 | 10.40*** |
β GARCH Volatility persistence | 0.7611 | 41.87*** |
Spline Coefficients
K=10
| γ1 | -1.9529 | -1.54 |
| γ2 | 4.5079 | 2.19** |
| γ3 | -3.8269 | -2.86*** |
| γ4 | 1.8084 | 2.18** |
| γ5 | 0.2259 | 0.36 |
| γ6 | -2.9091 | -5.03*** |
| γ7 | 4.9032 | 8.58*** |
| γ8 | -4.9212 | -6.67*** |
| γ9 | 1.9084 | 2.53** |
| γ10 | 0.2914 | 0.28 |
Persistence:
0.981
Half-life:
36 days
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