Osaka Yuka Industr Spline ILLIQ Liquidity Analysis
Liquidity prediction for Wednesday, July 15th, 2026
1 Day
7,427.79
increased by 4,017.28
1 Week
3,938.24
increased by 527.73
1 Month
3,121.84
decreased by 288.67
Analysis last updated: Wednesday, July 15, 2026 at 07:44 PM UTC
News Impact Curve
How returns affect tomorrow's liquidityLiquidity Forecast
How liquidity evolves over timeParameter Estimates
Oct 5, 2017 to Jul 10, 2026Model Insight
With persistence 0.998, illiquidity shocks have a half-life of 401 trading days (~1.6 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 | 0.9543 | 4.67*** |
α ARCH Response to squared shocks | 0.1655 | 10.39*** |
β GARCH Volatility persistence | 0.8328 | 51.67*** |
Spline Coefficients
K=1
| γ1 | -0.0533 | -1.34 |
Persistence:
0.998
Half-life:
401 days
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