Kowa Company Ltd ILLIQ-MFMEM Liquidity Analysis
Illiquidity prediction for Monday, October 26th, 2026
1 Day
5,081.75
1 Week
5,892.43
1 Month
7,708.72
Analysis last updated: Sunday, October 25, 2026 at 06:12 AM UTC
News Impact Curve
How returns affect tomorrow's illiquidityIlliquidity Forecast
How illiquidity evolves over timeParameter Estimates
Nov 28, 2017 to Oct 23, 2026Model Insight
With persistence 0.996, illiquidity shocks have a half-life of 168 trading days (~0.7 years), close to a unit root, so long-run forecasts are highly sensitive to this estimate. This multi-frequency model splits illiquidity into a fast short-run component and a slow-moving long-run level that drifts over the sample rather than a constant baseline.
ILLIQ-MFMEM Model
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| Param | Value | t-stat |
|---|---|---|
| αARCH | 0.1345 | 7.61*** |
| βGARCH | 0.8770 | 59.08*** |
| γleverage | -0.0312 | -2.08** |
| λ₁tau intercept | 4,667.2644 |
0.996
Persistence168d
Half-lifeILLIQ-MFMEM Model
Tap to view equation
| Parameter | Value | t-statistic |
|---|---|---|
α ARCH Response to squared shocks | 0.1345 | 7.61*** |
β GARCH Volatility persistence | 0.8770 | 59.08*** |
γ leverage Additional response to negative shocks | -0.0312 | -2.08** |
λ₁ tau intercept Baseline long-term coefficient | 4,667.2644 |
Persistence:
0.996
Half-life:
168 days
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