V-Lab
Showcase Inc ILLIQ-MFMEM Liquidity Analysis
Illiquidity prediction for Thursday, September 24th, 2026
1 Day
9,467.08
1 Week
9,001.47
1 Month
5,928.16
Analysis last updated: Sunday, September 20, 2026 at 12:24 AM UTC
News Impact Curve
How returns affect tomorrow's illiquidityIlliquidity Forecast
How illiquidity evolves over timeParameter Estimates
Mar 19, 2015 to Sep 18, 2026Model Insight
With persistence 0.999, illiquidity shocks have a half-life of 1143 trading days (~4.5 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 | 0.2143 | 18.58*** |
| βGARCH | 0.8003 | 83.35*** |
| γleverage | -0.0304 | -3.36*** |
| λ₁tau intercept | 1,713.9966 |
0.999
Persistence1143d
Half-lifeILLIQ-MFMEM Model
Tap to view equation
| Parameter | Value | t-statistic |
|---|---|---|
α ARCH Response to squared shocks | 0.2143 | 18.58*** |
β GARCH Volatility persistence | 0.8003 | 83.35*** |
γ leverage Additional response to negative shocks | -0.0304 | -3.36*** |
λ₁ tau intercept Baseline long-term coefficient | 1,713.9966 |
Persistence:
0.999
Half-life:
1143 days
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