V-Lab
Nippon Shindo Co Ltd Spline ILLIQ Liquidity Analysis
High-persistence model: shocks decay very slowly, so the theoretical long-run value may not be practically meaningful
Illiquidity prediction for Monday, July 27th, 2026
1 Day
3,569.50
decreased by 572.80
1 Week
3,757.61
decreased by 384.69
1 Month
3,658.18
decreased by 484.12
Analysis last updated: Sunday, July 26, 2026 at 03:16 AM UTC
News Impact Curve
How returns affect tomorrow's illiquidityIlliquidity Forecast
How illiquidity evolves over timeParameter Estimates
Oct 6, 1992 to Jul 24, 2026Model Insight
With persistence 1.000, illiquidity shocks have a half-life of 99021 trading days (~392.9 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 | 0.8938 | 0.48 |
α ARCH Response to squared shocks | 0.1521 | 0.01 |
β GARCH Volatility persistence | 0.8479 | 0.08 |
Spline Coefficients
K=6
| γ1 | -0.2217 | -0.01 |
| γ2 | 0.0057 | 0.00 |
| γ3 | 0.5378 | 0.06 |
| γ4 | -0.5979 | -0.17 |
| γ5 | 0.5079 | 1.26 |
| γ6 | -0.4067 | -0.24 |
Persistence:
1.000
Half-life:
99021 days
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