Asahi Rubber Inc 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 Wednesday, July 8th, 2026
1 Day
7,864.19
increased by 4,911.61
1 Week
3,599.37
increased by 646.79
1 Month
3,552.08
increased by 599.50
Analysis last updated: Wednesday, July 8, 2026 at 10:24 PM UTC
News Impact Curve
How returns affect tomorrow's liquidityLiquidity Forecast
How liquidity evolves over timeParameter Estimates
Nov 23, 1998 to Jul 3, 2026Model Insight
With persistence 1.000, illiquidity shocks have a half-life of 115524 trading days (~458.4 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 | 0.8797 | 4.02*** |
α ARCH Response to squared shocks | 0.1640 | 0.00 |
β GARCH Volatility persistence | 0.8360 | 0.02 |
Spline Coefficients
K=6
| γ1 | -0.8545 | -0.01 |
| γ2 | 1.2499 | 0.01 |
| γ3 | -1.0106 | -0.07 |
| γ4 | 1.2135 | 0.27 |
| γ5 | -0.7292 | -0.04 |
| γ6 | -0.0560 | 0.00 |
Persistence:
1.000
Half-life:
115524 days
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