LQR House Inc Spline ILLIQ Liquidity Analysis
Liquidity prediction for Monday, July 13th, 2026
1 Day
142,564.00
increased by 27,579.90
1 Week
104,205.98
decreased by 10,778.12
1 Month
241,641.22
increased by 126,657.12
Analysis last updated: Friday, July 10, 2026 at 10:43 PM UTC
News Impact Curve
How returns affect tomorrow's liquidityLiquidity Forecast
How liquidity evolves over timeParameter Estimates
Aug 10, 2023 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 38 trading days.
μ
ILLIQ-SMEM Model
Tap to view equation
| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 1.1728 | 1.25 |
α ARCH Response to squared shocks | 0.6955 | 3.48*** |
β GARCH Volatility persistence | 0.2865 | 1.73* |
Spline Coefficients
K=5
| γ1 | 6.7797 | 1.62 |
| γ2 | -12.4515 | -1.96* |
| γ3 | 2.6064 | 0.59 |
| γ4 | 12.9842 | 3.29*** |
| γ5 | -23.1809 | -6.01*** |
Persistence:
0.982
Half-life:
38 days
Other LQR House Inc Analyses
Other Spline ILLIQ Analyses on Equities