Altarea SCA ILLIQ-MFMEM Liquidity Analysis
High-persistence model: shocks decay very slowly, so the theoretical long-run value may not be practically meaningful
Liquidity prediction for Monday, July 20th, 2026
1 Day
11,399.49
1 Week
12,864.29
1 Month
13,322.16
Analysis last updated: Saturday, July 18, 2026 at 10:40 PM UTC
News Impact Curve
How returns affect tomorrow's liquidityLiquidity Forecast
How liquidity evolves over timeParameter Estimates
Jul 19, 1991 to Jul 17, 2026Model Insight
With persistence 1.000, illiquidity shocks have a half-life of 72963 trading days (~289.5 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.
Asymmetry: Illiquidity rises 275% more after negative returns
ILLIQ-MFMEM Model
Tap to view equation
| Parameter | Value | t-statistic |
|---|---|---|
m window Rolling window length | 51 | |
α ARCH Response to squared shocks | 0.1310 | 2.52** |
β GARCH Volatility persistence | 0.6891 | 70.70*** |
γ leverage Additional response to negative shocks | 0.3598 | 3.38*** |
λ₁ tau intercept Baseline long-term coefficient | 5.8570 | 1.82* |
λ₂ forecast adj. Forecast performance sensitivity | 1.0000 | 2.29** |
λ₃ tau persistence Long-term factor persistence | 0.0000 | 0.01 |
Persistence:
1.000
Half-life:
72963 days
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