Jorudan Co Ltd 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
5,700.93
decreased by 68.24
1 Week
5,411.35
decreased by 357.82
1 Month
8,301.22
increased by 2,532.05
Analysis last updated: Friday, July 17, 2026 at 07:41 PM UTC
News Impact Curve
How returns affect tomorrow's liquidityLiquidity Forecast
How liquidity evolves over timeParameter Estimates
Apr 21, 2003 to Jul 10, 2026Model Insight
With persistence 1.000, illiquidity shocks have a half-life of 69314 trading days (~275.1 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 | 0.7233 | 4.69*** |
α ARCH Response to squared shocks | 0.1582 | 0.08 |
β GARCH Volatility persistence | 0.8418 | 0.41 |
Spline Coefficients
K=3
| γ1 | -0.1805 | -0.53 |
| γ2 | 0.1529 | 0.26 |
| γ3 | 0.1473 | 0.24 |
Persistence:
1.000
Half-life:
69314 days
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