Itokuro Inc Spline ILLIQ Liquidity Analysis
Liquidity prediction for Tuesday, July 21st, 2026
1 Day
5,751.31
decreased by 549.35
1 Week
5,321.21
decreased by 979.45
1 Month
6,283.32
decreased by 17.34
Analysis last updated: Sunday, July 19, 2026 at 01:13 AM UTC
News Impact Curve
How returns affect tomorrow's liquidityLiquidity Forecast
How liquidity evolves over timeParameter Estimates
Jul 30, 2015 to Jul 17, 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 21 trading days.
μ
ILLIQ-SMEM Model
Tap to view equation
| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 1.0100 | 9.25*** |
α ARCH Response to squared shocks | 0.1694 | 10.79*** |
β GARCH Volatility persistence | 0.7977 | 41.80*** |
Spline Coefficients
K=1
| γ1 | 0.0547 | 6.32*** |
Persistence:
0.967
Half-life:
21 days
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