Skip to main content
V-Lab

Hakuhodo Dy Hldgs Spline ILLIQ Liquidity Analysis

Liquidity prediction for Tuesday, July 21st, 2026

1 Day

14.17

increased by 0.26

1 Week

14.27

increased by 0.36

1 Month

13.64

decreased by 0.27

Analysis last updated: Sunday, July 19, 2026 at 01:07 AM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

All

graph of Hakuhodo Dy Hldgs ILLIQ-SMEM

News Impact Curve

How returns affect tomorrow's liquidity

Liquidity Forecast

How liquidity evolves over time

Parameter Estimates

Feb 18, 2005 to Jul 17, 2026

Model Insight

With persistence 0.998, illiquidity shocks have a half-life of 301 trading days (~1.2 years), close to a unit root, so long-run forecasts are highly sensitive to this estimate.

μ

ILLIQ-SMEM Model

Tap to view equation

ParameterValuet-statistic
ω

const

Unconditional variance weight

1.1384
7.61***
α

ARCH

Response to squared shocks

0.0626
11.13***
β

GARCH

Volatility persistence

0.9351
165.07***
γi Spline Coefficients
K=1
γ1-0.0059
-1.71*

Persistence:

0.998

Half-life:

301 days