V-Lab
Akasaka Diesels Ltd Spline ILLIQ Liquidity Analysis
Illiquidity prediction for Monday, July 27th, 2026
1 Day
6,592.83
increased by 74.28
1 Week
6,516.91
decreased by 1.64
1 Month
6,485.50
decreased by 33.05
Analysis last updated: Sunday, July 26, 2026 at 03:36 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
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 36 trading days.
μ
ILLIQ-SMEM Model
Tap to view equation
| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 0.9634 | 5.40*** |
α ARCH Response to squared shocks | 0.1320 | 11.36*** |
β GARCH Volatility persistence | 0.8491 | 63.81*** |
Spline Coefficients
K=10
| γ1 | 0.1248 | 1.19 |
| γ2 | -0.1178 | -0.72 |
| γ3 | -0.3922 | -3.04*** |
| γ4 | 0.6619 | 4.70*** |
| γ5 | -0.0948 | -0.74 |
| γ6 | -0.4693 | -4.04*** |
| γ7 | 0.3587 | 2.99*** |
| γ8 | 0.1797 | 1.43 |
| γ9 | -0.8250 | -5.79*** |
| γ10 | 1.2637 | 4.85*** |
Persistence:
0.981
Half-life:
36 days
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