Xiaomi Corporation ILLIQ-MFMEM Liquidity Analysis
Illiquidity prediction for Wednesday, October 14th, 2026
1 Day
212,690.70
1 Week
175,410.82
1 Month
222,175.60
Analysis last updated: Wednesday, October 14, 2026 at 07:40 PM UTC
News Impact Curve
How returns affect tomorrow's illiquidityIlliquidity Forecast
How illiquidity evolves over timeParameter Estimates
May 5, 2020 to Oct 9, 2026Model Insight
With persistence 0.998, illiquidity shocks have a half-life of 429 trading days (~1.7 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 |
|---|---|---|
| mwindow | 126 | |
| αARCH | 0.1299 | 8.76*** |
| βGARCH | 0.8784 | 75.99*** |
| γleverage | -0.0198 | -1.40 |
| λ₁tau intercept | 0.0000 | 0.00 |
| λ₂forecast adj. | 0.0000 | 0.00 |
| λ₃tau persistence | 0.9997 | 46.10*** |
0.998
Persistence429d
Half-lifeILLIQ-MFMEM Model
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| Parameter | Value | t-statistic |
|---|---|---|
m window Rolling window length | 126 | |
α ARCH Response to squared shocks | 0.1299 | 8.76*** |
β GARCH Volatility persistence | 0.8784 | 75.99*** |
γ leverage Additional response to negative shocks | -0.0198 | -1.40 |
λ₁ tau intercept Baseline long-term coefficient | 0.0000 | 0.00 |
λ₂ forecast adj. Forecast performance sensitivity | 0.0000 | 0.00 |
λ₃ tau persistence Long-term factor persistence | 0.9997 | 46.10*** |
Persistence:
0.998
Half-life:
429 days
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