V-Lab
Access Engineering Ltd ILLIQ-MFMEM Liquidity Analysis
Illiquidity prediction for Monday, August 24th, 2026
1 Day
5,449.86
1 Week
4,596.35
1 Month
3,824.53
Analysis last updated: Sunday, August 23, 2026 at 02:09 AM UTC
News Impact Curve
How returns affect tomorrow's illiquidityIlliquidity Forecast
How illiquidity evolves over timeParameter Estimates
Mar 27, 2012 to Aug 21, 2026Model Insight
With persistence 0.995, illiquidity shocks have a half-life of 138 trading days (~0.5 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
Tap to view equation
| Parameter | Value | t-statistic |
|---|---|---|
m window Rolling window length | 101 | |
α ARCH Response to squared shocks | 0.4842 | 0.84 |
β GARCH Volatility persistence | 0.7251 | 53.02*** |
γ leverage Additional response to negative shocks | -0.4286 | -0.44 |
λ₁ tau intercept Baseline long-term coefficient | 0.0000 | 1.00 |
λ₂ forecast adj. Forecast performance sensitivity | 0.0007 | 0.87 |
λ₃ tau persistence Long-term factor persistence | 0.5973 | 13.70*** |
Persistence:
0.995
Half-life:
138 days
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