V-Lab
Wonderplanet Inc ILLIQ-MFMEM Liquidity Analysis
Illiquidity prediction for Friday, October 2nd, 2026
1 Day
9,882.86
1 Week
5,619.09
1 Month
3,136.25
Analysis last updated: Friday, October 2, 2026 at 08:00 PM UTC
News Impact Curve
How returns affect tomorrow's illiquidityIlliquidity Forecast
How illiquidity evolves over timeParameter Estimates
Jun 10, 2021 to Sep 25, 2026Model Insight
With persistence 0.997, illiquidity shocks have a half-life of 238 trading days (~0.9 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
| Param | Value | t-stat |
|---|---|---|
| αARCH | 0.2714 | 16.02*** |
| βGARCH | 0.7509 | 50.97*** |
| γleverage | -0.0504 | -3.28*** |
| λ₁tau intercept | 1,672.8706 |
0.997
Persistence238d
Half-lifeILLIQ-MFMEM Model
Tap to view equation
| Parameter | Value | t-statistic |
|---|---|---|
α ARCH Response to squared shocks | 0.2714 | 16.02*** |
β GARCH Volatility persistence | 0.7509 | 50.97*** |
γ leverage Additional response to negative shocks | -0.0504 | -3.28*** |
λ₁ tau intercept Baseline long-term coefficient | 1,672.8706 |
Persistence:
0.997
Half-life:
238 days
Other Wonderplanet Inc Analyses
Other ILLIQ-MFMEM Analyses on International Equities