XMAX Inc Spline ILLIQ Liquidity Analysis
Liquidity prediction for Wednesday, July 15th, 2026
1 Day
1,773.04
decreased by 75.71
1 Week
1,870.49
increased by 21.74
1 Month
2,222.93
increased by 374.18
Analysis last updated: Tuesday, July 14, 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 10, 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 37 trading days.
μ
ILLIQ-SMEM Model
Tap to view equation
| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 6.7542 | 3.15*** |
α ARCH Response to squared shocks | 0.2203 | 10.42*** |
β GARCH Volatility persistence | 0.7613 | 42.18*** |
Spline Coefficients
K=10
| γ1 | -1.9857 | -1.53 |
| γ2 | 4.5584 | 2.18** |
| γ3 | -3.8371 | -2.82*** |
| γ4 | 1.7783 | 2.13** |
| γ5 | 0.2749 | 0.44 |
| γ6 | -2.9676 | -5.12*** |
| γ7 | 4.9625 | 8.43*** |
| γ8 | -4.9108 | -6.48*** |
| γ9 | 1.7902 | 2.38** |
| γ10 | 0.4967 | 0.49 |
Persistence:
0.982
Half-life:
37 days
Other XMAX Inc Analyses
Other Spline ILLIQ Analyses on Equities