Uchiyama Holdings Inc ILLIQ-MFMEM Liquidity Analysis
Illiquidity prediction for Friday, October 23rd, 2026
1 Day
7,120.96
1 Week
3,824.90
1 Month
2,583.27
Analysis last updated: Friday, October 23, 2026 at 07:55 PM UTC
News Impact Curve
How returns affect tomorrow's illiquidityIlliquidity Forecast
How illiquidity evolves over timeParameter Estimates
Apr 20, 2012 to Oct 16, 2026Model Insight
With persistence 0.994, illiquidity shocks have a half-life of 118 trading days (~0.5 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
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| Param | Value | t-stat |
|---|---|---|
| αARCH | 0.1369 | 14.29*** |
| βGARCH | 0.8613 | 94.04*** |
| γleverage | -0.0082 | -1.68* |
| λ₁tau intercept | 1,037.1488 |
0.994
Persistence118d
Half-lifeILLIQ-MFMEM Model
Tap to view equation
| Parameter | Value | t-statistic |
|---|---|---|
α ARCH Response to squared shocks | 0.1369 | 14.29*** |
β GARCH Volatility persistence | 0.8613 | 94.04*** |
γ leverage Additional response to negative shocks | -0.0082 | -1.68* |
λ₁ tau intercept Baseline long-term coefficient | 1,037.1488 |
Persistence:
0.994
Half-life:
118 days
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