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Tomita Electric Co Ltd Spline ILLIQ Liquidity Analysis

Illiquidity prediction for Thursday, September 24th, 2026

1 Day

2,407.04

decreased by 23.87

1 Week

2,418.97

decreased by 11.94

1 Month

3,574.33

increased by 1,143.42

Analysis last updated: Sunday, September 20, 2026 at 12:19 AM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

All

graph of Tomita Electric Co Ltd ILLIQ-SMEM

News Impact Curve

How returns affect tomorrow's illiquidity

Illiquidity Forecast

How illiquidity evolves over time

Parameter Estimates

Jan 4, 1996 to Sep 18, 2026

Model 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 55 trading days.

μ

ILLIQ-SMEM Model

Tap to view equation

Time-varying baseline: illiquidity reverts to a slowly-shifting spline trend
ParamValuet-stat
ωconst0.7545
3.15***
αARCH0.1368
9.95***
βGARCH0.8507
54.87***
γi Spline Coefficients
K=9
γ10.2874
1.13
γ2-0.8692
-2.26**
γ31.1642
4.67***
γ4-1.1748
-5.74***
γ50.8520
3.87***
γ60.0216
0.10
γ7-0.9830
-4.34***
γ81.6333
6.73***
γ9-1.7297
-4.94***

0.987

Persistence

55d

Half-life
μ

ILLIQ-SMEM Model

Tap to view equation

ParameterValuet-statistic
ω

const

Unconditional variance weight

0.7545
3.15***
α

ARCH

Response to squared shocks

0.1368
9.95***
β

GARCH

Volatility persistence

0.8507
54.87***
γi Spline Coefficients
K=9
γ10.2874
1.13
γ2-0.8692
-2.26**
γ31.1642
4.67***
γ4-1.1748
-5.74***
γ50.8520
3.87***
γ60.0216
0.10
γ7-0.9830
-4.34***
γ81.6333
6.73***
γ9-1.7297
-4.94***

Persistence:

0.987

Half-life:

55 days