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
News Impact Curve
How returns affect tomorrow's liquidityLiquidity Forecast
How liquidity evolves over timeParameter Estimates
Feb 18, 2005 to Jul 17, 2026Model 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
| Parameter | Value | t-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*** |
Spline Coefficients
K=1
| γ1 | -0.0059 | -1.71* |
Persistence:
0.998
Half-life:
301 days
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