V-Lab
Tomita Electric Co Ltd Spline ILLIQ Liquidity Analysis
Illiquidity prediction for Friday, September 4th, 2026
1 Day
4,607.55
decreased by 0.57
1 Week
4,908.90
increased by 300.78
1 Month
7,441.27
increased by 2,833.15
Analysis last updated: Friday, September 4, 2026 at 07:52 PM UTC
News Impact Curve
How returns affect tomorrow's illiquidityIlliquidity Forecast
How illiquidity evolves over timeParameter Estimates
Jan 4, 1996 to Aug 28, 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 54 trading days.
μ
ILLIQ-SMEM Model
Tap to view equation
| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 0.7477 | 3.15*** |
α ARCH Response to squared shocks | 0.1359 | 9.97*** |
β GARCH Volatility persistence | 0.8515 | 55.49*** |
Spline Coefficients
K=9
| γ1 | 0.2886 | 1.13 |
| γ2 | -0.8714 | -2.26** |
| γ3 | 1.1656 | 4.68*** |
| γ4 | -1.1749 | -5.75*** |
| γ5 | 0.8465 | 3.85*** |
| γ6 | 0.0347 | 0.16 |
| γ7 | -0.9875 | -4.33*** |
| γ8 | 1.5927 | 6.46*** |
| γ9 | -1.5433 | -3.96*** |
Persistence:
0.987
Half-life:
54 days
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