V-Lab
Mksystem Corp ILLIQ-MFMEM Liquidity Analysis
Illiquidity prediction for Monday, August 24th, 2026
1 Day
9,676.76
1 Week
10,418.49
1 Month
17,112.61
Analysis last updated: Saturday, August 22, 2026 at 11:25 PM UTC
News Impact Curve
How returns affect tomorrow's illiquidityIlliquidity Forecast
How illiquidity evolves over timeParameter Estimates
Mar 18, 2015 to Aug 21, 2026Model Insight
With persistence 0.999, illiquidity shocks have a half-life of 970 trading days (~3.8 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 | 0.1501 | 55.72*** |
β GARCH Volatility persistence | 0.8615 | 368.31*** |
γ leverage Additional response to negative shocks | -0.0246 | -11.87*** |
λ₁ tau intercept Baseline long-term coefficient | 4,029.0011 |
Persistence:
0.999
Half-life:
970 days
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