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Asahimas Flat Glass Co Ltd ILLIQ-MFMEM Liquidity Analysis

Illiquidity prediction for Tuesday, August 18th, 2026

1 Day

1,723.21

decreased by 171.04

1 Week

1,923.86

increased by 29.61

1 Month

3,416.81

increased by 1,522.56

Analysis last updated: Sunday, August 16, 2026 at 02:09 AM UTC

Date Range:

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to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

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graph of Asahimas Flat Glass Co Ltd ILLIQ-MFMEM

News Impact Curve

How returns affect tomorrow's illiquidity

Illiquidity Forecast

How illiquidity evolves over time

Parameter Estimates

Feb 1, 1996 to Aug 14, 2026

Model Insight

With persistence 0.997, illiquidity shocks have a half-life of 254 trading days (~1.0 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.

μ

ILLIQ-MFMEM Model

Tap to view equation

ParameterValuet-statistic
m

window

Rolling window length

106
α

ARCH

Response to squared shocks

0.1495
0.23
β

GARCH

Volatility persistence

0.9097
217.89***
γ

leverage

Additional response to negative shocks

-0.1239
-0.10
λ₁

tau intercept

Baseline long-term coefficient

6.8172
0.42
λ₂

forecast adj.

Forecast performance sensitivity

0.0000
0.00
λ₃

tau persistence

Long-term factor persistence

0.3163
0.25

Persistence:

0.997

Half-life:

254 days