Ekitan & Co Ltd ILLIQ-MFMEM Liquidity Analysis
Liquidity prediction for Wednesday, July 22nd, 2026
1 Day
4,003.88
1 Week
4,280.42
1 Month
5,965.50
Analysis last updated: Wednesday, July 22, 2026 at 07:27 PM UTC
News Impact Curve
How returns affect tomorrow's liquidityLiquidity Forecast
How liquidity evolves over timeParameter Estimates
Mar 3, 2011 to Jul 17, 2026Model Insight
With persistence 0.999, illiquidity shocks have a half-life of 743 trading days (~2.9 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
Tap to view equation
| Parameter | Value | t-statistic |
|---|---|---|
α ARCH Response to squared shocks | 0.1534 | 42.88*** |
β GARCH Volatility persistence | 0.8590 | 220.88*** |
γ leverage Additional response to negative shocks | -0.0266 | -12.85*** |
λ₁ tau intercept Baseline long-term coefficient | 3,772.3160 |
Persistence:
0.999
Half-life:
743 days
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