V-Lab
Alue Co Ltd ILLIQ-MFMEM Liquidity Analysis
Illiquidity prediction for Thursday, September 3rd, 2026
1 Day
4,472.16
1 Week
3,972.45
1 Month
3,642.56
Analysis last updated: Thursday, September 3, 2026 at 07:24 PM UTC
News Impact Curve
How returns affect tomorrow's illiquidityIlliquidity Forecast
How illiquidity evolves over timeParameter Estimates
Dec 11, 2018 to Aug 28, 2026Model Insight
Illiquidity shocks decay with a half-life of 7 trading days, meaning a shock loses half its impact after approximately 7 days. 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 |
|---|---|---|
| mwindow | 21 | |
| αARCH | 0.1956 | 7.12*** |
| βGARCH | 0.8063 | 31.45*** |
| γleverage | -0.1956 | -5.39*** |
| λ₁tau intercept | 10.0000 | 0.67 |
| λ₂forecast adj. | 0.0000 | 0.00 |
| λ₃tau persistence | 0.9873 | 368.69*** |
0.904
Persistence7d
Half-lifeILLIQ-MFMEM Model
Tap to view equation
| Parameter | Value | t-statistic |
|---|---|---|
m window Rolling window length | 21 | |
α ARCH Response to squared shocks | 0.1956 | 7.12*** |
β GARCH Volatility persistence | 0.8063 | 31.45*** |
γ leverage Additional response to negative shocks | -0.1956 | -5.39*** |
λ₁ tau intercept Baseline long-term coefficient | 10.0000 | 0.67 |
λ₂ forecast adj. Forecast performance sensitivity | 0.0000 | 0.00 |
λ₃ tau persistence Long-term factor persistence | 0.9873 | 368.69*** |
Persistence:
0.904
Half-life:
7 days
Other Alue Co Ltd Analyses
Other ILLIQ-MFMEM Analyses on International Equities