Ryojbaba Co Ltd Spline ILLIQ Liquidity Analysis
Illiquidity prediction for Monday, October 19th, 2026
1 Day
6,709,994.00
decreased by 751,821.00
1 Week
7,483,064.00
increased by 21,249.00
1 Month
4,385,250.15
decreased by 3,076,564.85
Analysis last updated: Friday, October 16, 2026 at 10:34 PM UTC
News Impact Curve
How returns affect tomorrow's illiquidityIlliquidity Forecast
How illiquidity evolves over timeParameter Estimates
Aug 14, 2025 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 2 trading days.
μ
ILLIQ-SMEM Model
Tap to view equation
Time-varying baseline: illiquidity reverts to a slowly-shifting spline trend
| Param | Value | t-stat |
|---|---|---|
| ωconst | 1.0940 | 4.90*** |
| αARCH | 0.2563 | 2.97*** |
| βGARCH | 0.4601 | 2.27** |
Spline Coefficients
K=3
| γ1 | 24.7501 | 4.53*** |
| γ2 | -55.1848 | -6.79*** |
| γ3 | 76.7756 | 7.50*** |
0.716
Persistence2d
Half-lifeμ
ILLIQ-SMEM Model
Tap to view equation
| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 1.0940 | 4.90*** |
α ARCH Response to squared shocks | 0.2563 | 2.97*** |
β GARCH Volatility persistence | 0.4601 | 2.27** |
Spline Coefficients
K=3
| γ1 | 24.7501 | 4.53*** |
| γ2 | -55.1848 | -6.79*** |
| γ3 | 76.7756 | 7.50*** |
Persistence:
0.716
Half-life:
2 days
Other Ryojbaba Co Ltd Analyses
Other Spline ILLIQ Analyses on Equities