Fujisan Magazine Service Co 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 Friday, July 17th, 2026
1 Day
7,683.18
increased by 228.23
1 Week
6,079.42
decreased by 1,375.53
1 Month
3,857.00
decreased by 3,597.95
Analysis last updated: Friday, July 17, 2026 at 07:44 PM UTC
News Impact Curve
How returns affect tomorrow's liquidityLiquidity Forecast
How liquidity evolves over timeParameter Estimates
Jul 7, 2015 to Jul 10, 2026Model Insight
With persistence 1.000, illiquidity shocks have a half-life of 231049 trading days (~916.9 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 | 0.8178 | 0.07 |
α ARCH Response to squared shocks | 0.1436 | 0.00 |
β GARCH Volatility persistence | 0.8564 | 0.03 |
Spline Coefficients
K=1
| γ1 | -0.1437 | 0.00 |
Persistence:
1.000
Half-life:
231049 days
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