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Press Kogyo Co Ltd Spline ILLIQ Liquidity Analysis

Illiquidity prediction for Wednesday, September 9th, 2026

1 Day

43.45

increased by 10.14

1 Week

38.61

increased by 5.30

1 Month

39.48

increased by 6.17

Analysis last updated: Wednesday, September 9, 2026 at 07:46 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

All

graph of Press Kogyo Co Ltd ILLIQ-SMEM

News Impact Curve

How returns affect tomorrow's illiquidity

Illiquidity Forecast

How illiquidity evolves over time

Parameter Estimates

Oct 1, 1992 to Sep 4, 2026

Model Insight

With persistence 0.996, illiquidity shocks have a half-life of 167 trading days (~0.7 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 0.996, shock half-life ~167 days
ParamValuet-stat
ωconst1.6039
6.52***
αARCH0.1463
22.09***
βGARCH0.8496
127.45***
γi Spline Coefficients
K=1
γ10.0035
3.46***

0.996

Persistence

167d

Half-life
μ

ILLIQ-SMEM Model

Tap to view equation

ParameterValuet-statistic
ω

const

Unconditional variance weight

1.6039
6.52***
α

ARCH

Response to squared shocks

0.1463
22.09***
β

GARCH

Volatility persistence

0.8496
127.45***
γi Spline Coefficients
K=1
γ10.0035
3.46***

Persistence:

0.996

Half-life:

167 days