V-Lab
Akasaka Diesels Ltd ILLIQ-MFMEM Liquidity Analysis
Illiquidity prediction for Monday, July 27th, 2026
1 Day
6,604.44
1 Week
6,510.01
1 Month
6,515.55
Analysis last updated: Sunday, July 26, 2026 at 03:34 AM UTC
News Impact Curve
How returns affect tomorrow's illiquidityIlliquidity Forecast
How illiquidity evolves over timeParameter Estimates
Oct 2, 1992 to Jul 24, 2026Model Insight
With persistence 0.991, illiquidity shocks have a half-life of 75 trading days (~0.3 years), close to a unit root, so long-run forecasts are highly sensitive to this estimate. This multi-frequency model splits illiquidity into a fast short-run component and a slow-moving long-run level that drifts over the sample rather than a constant baseline.
ILLIQ-MFMEM Model
Tap to view equation
| Parameter | Value | t-statistic |
|---|---|---|
m window Rolling window length | 121 | |
α ARCH Response to squared shocks | 0.1236 | 6.30*** |
β GARCH Volatility persistence | 0.8871 | 361.78*** |
γ leverage Additional response to negative shocks | -0.0397 | -1.02 |
λ₁ tau intercept Baseline long-term coefficient | 3.0308 | 26.95*** |
λ₂ forecast adj. Forecast performance sensitivity | 0.0000 | 0.02 |
λ₃ tau persistence Long-term factor persistence | 0.9988 | 1,406.82*** |
Persistence:
0.991
Half-life:
75 days
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