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Micron Machinery Co Ltd Spline ILLIQ Liquidity Analysis

High-persistence model: shocks decay very slowly, so the theoretical long-run value may not be practically meaningful

Illiquidity prediction for Tuesday, October 20th, 2026

1 Day

6,300.52

increased by 1,374.01

1 Week

5,778.24

increased by 851.73

1 Month

7,118.03

increased by 2,191.52

Analysis last updated: Tuesday, October 20, 2026 at 08:31 PM UTC

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Date Range:

from

10/19/2024

to

10/19/2026

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

All

graph of Micron Machinery Co Ltd ILLIQ-SMEM

News Impact Curve

How returns affect tomorrow's illiquidity

Illiquidity Forecast

How illiquidity evolves over time

Parameter Estimates

Jun 27, 2005 to Oct 16, 2026

Model Insight

With persistence 1.000, illiquidity shocks have a half-life of 173286 trading days (~687.6 years), close to a unit root, so long-run forecasts are highly sensitive to this estimate.

μ

ILLIQ-SMEM Model

Tap to view equation

High persistence: persistence 1.000, shock half-life ~173286 days
ParamValuet-stat
ωconst1.9796
αARCH0.1803
βGARCH0.8197
∑γi Spline Coefficients
K=3
γ1-0.3137
γ20.4348
γ3-0.2343

1.000

Persistence

173286d

Half-life
μ

ILLIQ-SMEM Model

Tap to view equation

ParameterValuet-statistic
ω

const

Unconditional variance weight

1.9796
α

ARCH

Response to squared shocks

0.1803
β

GARCH

Volatility persistence

0.8197
∑γi Spline Coefficients
K=3
γ1-0.3137
γ20.4348
γ3-0.2343

Persistence:

1.000

Half-life:

173286 days