Altarea SCA 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 Tuesday, October 27th, 2026
1 Day
17,968.17
1 Week
14,673.47
1 Month
14,844.93
Analysis last updated: Tuesday, October 27, 2026 at 07:03 PM UTC
News Impact Curve
How returns affect tomorrow's illiquidityIlliquidity Forecast
How illiquidity evolves over timeParameter Estimates
Jul 19, 1991 to Oct 23, 2026Model Insight
With persistence 1.000, illiquidity shocks have a half-life of 138629 trading days (~550.1 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 |
|---|---|---|
| mwindow | 51 | |
| αARCH | 0.1357 | 1.48 |
| βGARCH | 0.6832 | 324.08*** |
| γleverage | 0.3623 | 1.92* |
| λ₁tau intercept | 5.9464 | 8.62*** |
| λ₂forecast adj. | 1.0000 | 22.67*** |
| λ₃tau persistence | 0.0000 | 1.00 |
1.000
Persistence138629d
Half-lifeILLIQ-MFMEM Model
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| Parameter | Value | t-statistic |
|---|---|---|
m window Rolling window length | 51 | |
α ARCH Response to squared shocks | 0.1357 | 1.48 |
β GARCH Volatility persistence | 0.6832 | 324.08*** |
γ leverage Additional response to negative shocks | 0.3623 | 1.92* |
λ₁ tau intercept Baseline long-term coefficient | 5.9464 | 8.62*** |
λ₂ forecast adj. Forecast performance sensitivity | 1.0000 | 22.67*** |
λ₃ tau persistence Long-term factor persistence | 0.0000 | 1.00 |
Persistence:
1.000
Half-life:
138629 days
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