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Yamadai Corp Asymmetric ILLIQ Liquidity Analysis

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

Illiquidity prediction for Monday, July 27th, 2026

1 Day

963.56

increased by 71.12

1 Week

937.47

increased by 45.03

1 Month

1,468.68

increased by 576.24

Analysis last updated: Sunday, July 26, 2026 at 03:51 AM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

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graph of Yamadai Corp ILLIQ-AMEM

News Impact Curve

How returns affect tomorrow's illiquidity

Illiquidity Forecast

How illiquidity evolves over time

Parameter Estimates

Feb 6, 1995 to Jul 24, 2026

Model Insight

With persistence 1.000, illiquidity shocks have a half-life of 693147 trading days (~2750.6 years), close to a unit root, so long-run forecasts are highly sensitive to this estimate.

Asymmetry: Illiquidity rises 92% more after negative returns

μ

ILLIQ-AMEM Model

Tap to view equation

ParameterValuet-statistic
ω

const

Unconditional variance weight

5.0000
0.85
α

ARCH

Response to squared shocks

0.0589
22.22***
β

GARCH

Volatility persistence

0.9141
639.71***
γ

leverage

Additional response to negative shocks

0.0540
10.06***

Persistence:

1.000

Half-life:

693147 days