Xspray Pharma Ab Spline ILLIQ Liquidity Analysis
High-persistence model: shocks decay very slowly, so the theoretical long-run value may not be practically meaningful
Liquidity prediction for Tuesday, July 14th, 2026
1 Day
10,550.05
decreased by 514.72
1 Week
11,151.04
increased by 86.27
1 Month
10,396.34
decreased by 668.43
Analysis last updated: Tuesday, July 14, 2026 at 08:12 PM UTC
News Impact Curve
How returns affect tomorrow's liquidityLiquidity Forecast
How liquidity evolves over timeParameter Estimates
Sep 28, 2017 to Jul 10, 2026Model Insight
With persistence 1.000, illiquidity shocks have a half-life of 138629 trading days (~550.1 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 | 0.8154 | 5.35*** |
α ARCH Response to squared shocks | 0.1207 | 0.06 |
β GARCH Volatility persistence | 0.8793 | 0.41 |
Spline Coefficients
K=1
| γ1 | -0.2083 | -0.04 |
Persistence:
1.000
Half-life:
138629 days
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