Kawasaki Geological Engr Co Spline ILLIQ Liquidity Analysis
Liquidity prediction for Tuesday, July 21st, 2026
1 Day
563.82
decreased by 28.93
1 Week
609.40
increased by 16.65
1 Month
816.59
increased by 223.84
Analysis last updated: Sunday, July 19, 2026 at 01:57 AM UTC
News Impact Curve
How returns affect tomorrow's liquidityLiquidity Forecast
How liquidity evolves over timeParameter Estimates
Aug 6, 1997 to Jul 17, 2026Model Insight
This model fits a time-varying baseline (a spline), so illiquidity mean-reverts toward a slowly-shifting long-run level rather than a constant. Short-run deviations decay with a half-life of 28 trading days.
μ
ILLIQ-SMEM Model
Tap to view equation
| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 1.6120 | 7.05*** |
α ARCH Response to squared shocks | 0.1168 | 8.40*** |
β GARCH Volatility persistence | 0.8586 | 54.92*** |
Spline Coefficients
K=1
| γ1 | -0.0203 | -6.12*** |
Persistence:
0.975
Half-life:
28 days
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