Japan Power Fastening 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 10th, 2026
1 Day
7,905.74
increased by 4,954.64
1 Week
4,274.71
increased by 1,323.61
1 Month
3,724.43
increased by 773.33
Analysis last updated: Friday, July 10, 2026 at 07:58 PM UTC
News Impact Curve
How returns affect tomorrow's liquidityLiquidity Forecast
How liquidity evolves over timeParameter Estimates
Sep 30, 1993 to Jul 3, 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 | 0.8965 | 0.50 |
α ARCH Response to squared shocks | 0.1383 | 0.05 |
β GARCH Volatility persistence | 0.8617 | 0.31 |
Spline Coefficients
K=4
| γ1 | -0.2967 | -0.80 |
| γ2 | 0.3682 | 0.50 |
| γ3 | -0.2165 | -0.38 |
| γ4 | 0.4971 | 0.36 |
Persistence:
1.000
Half-life:
69314 days
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