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Access Engineering Ltd ILLIQ-MFMEM Liquidity Analysis

High-persistence model: shocks decay very slowly, so the theoretical long-run value may not be practically meaningful

Illiquidity prediction for Monday, August 17th, 2026

1 Day

3,983.39

decreased by 1,525.61

1 Week

5,419.49

decreased by 89.51

1 Month

3,343.03

decreased by 2,165.97

Analysis last updated: Sunday, August 16, 2026 at 01:13 AM UTC

Date Range:

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to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

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graph of Access Engineering Ltd ILLIQ-MFMEM

News Impact Curve

How returns affect tomorrow's illiquidity

Illiquidity Forecast

How illiquidity evolves over time

Parameter Estimates

Mar 27, 2012 to Aug 14, 2026

Model Insight

With persistence 1.000, illiquidity shocks have a half-life of 1386294 trading days (~5501.2 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.

μ

ILLIQ-MFMEM Model

Tap to view equation

ParameterValuet-statistic
m

window

Rolling window length

126
α

ARCH

Response to squared shocks

0.4869
1.05
β

GARCH

Volatility persistence

0.7231
47.54***
γ

leverage

Additional response to negative shocks

-0.4199
-0.48
λ₁

tau intercept

Baseline long-term coefficient

0.0017
1.21
λ₂

forecast adj.

Forecast performance sensitivity

0.0000
2.50**
λ₃

tau persistence

Long-term factor persistence

0.3813
10.77***

Persistence:

1.000

Half-life:

1386294 days