Fuji Ps Corp Spline ILLIQ Liquidity Analysis
Liquidity prediction for Thursday, July 9th, 2026
1 Day
2,006.70
decreased by 143.40
1 Week
2,144.51
decreased by 5.59
1 Month
2,254.69
increased by 104.59
Analysis last updated: Thursday, July 9, 2026 at 07:34 PM UTC
News Impact Curve
How returns affect tomorrow's liquidityLiquidity Forecast
How liquidity evolves over timeParameter Estimates
Mar 24, 1995 to Jul 3, 2026Model Insight
With persistence 0.999, illiquidity shocks have a half-life of 527 trading days (~2.1 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 | 1.1062 | 3.48*** |
α ARCH Response to squared shocks | 0.0701 | 9.81*** |
β GARCH Volatility persistence | 0.9286 | 126.87*** |
Spline Coefficients
K=2
| γ1 | -0.0426 | -3.51*** |
| γ2 | 0.0798 | 4.10*** |
Persistence:
0.999
Half-life:
527 days
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