Saikaya Department Store Co Spline ILLIQ Liquidity Analysis
Illiquidity prediction for Tuesday, October 20th, 2026
1 Day
12,916.03
increased by 12,045.40
1 Week
3,250.28
increased by 2,379.65
1 Month
1,430.83
increased by 560.20
Analysis last updated: Tuesday, October 20, 2026 at 08:35 PM UTC
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News Impact Curve
How returns affect tomorrow's illiquidityIlliquidity Forecast
How illiquidity evolves over timeParameter Estimates
Oct 13, 1992 to Oct 16, 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 32 trading days.
μ
ILLIQ-SMEM Model
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Time-varying baseline: illiquidity reverts to a slowly-shifting spline trend
| Param | Value | t-stat |
|---|---|---|
| ωconst | 1.1505 | 3.70*** |
| αARCH | 0.1310 | 10.84*** |
| βGARCH | 0.8472 | 57.05*** |
Spline Coefficients
K=8
| γ1 | -0.3792 | -3.93*** |
| γ2 | 0.4963 | 3.53*** |
| γ3 | -0.1654 | -1.49 |
| γ4 | 0.0097 | 0.08 |
| γ5 | 0.2792 | 2.36** |
| γ6 | -0.4570 | -4.91*** |
| γ7 | 0.2496 | 3.12*** |
| γ8 | -0.1503 | -1.30 |
0.978
Persistence32d
Half-lifeμ
ILLIQ-SMEM Model
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| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 1.1505 | 3.70*** |
α ARCH Response to squared shocks | 0.1310 | 10.84*** |
β GARCH Volatility persistence | 0.8472 | 57.05*** |
Spline Coefficients
K=8
| γ1 | -0.3792 | -3.93*** |
| γ2 | 0.4963 | 3.53*** |
| γ3 | -0.1654 | -1.49 |
| γ4 | 0.0097 | 0.08 |
| γ5 | 0.2792 | 2.36** |
| γ6 | -0.4570 | -4.91*** |
| γ7 | 0.2496 | 3.12*** |
| γ8 | -0.1503 | -1.30 |
Persistence:
0.978
Half-life:
32 days
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