V-Lab
Arko Corp ILLIQ-MFMEM Liquidity Analysis
Illiquidity prediction for Monday, September 14th, 2026
1 Day
4,987.60
1 Week
5,980.51
1 Month
5,433.77
Analysis last updated: Friday, September 11, 2026 at 10:12 PM UTC
News Impact Curve
How returns affect tomorrow's illiquidityIlliquidity Forecast
How illiquidity evolves over timeParameter Estimates
Jul 23, 2019 to Sep 11, 2026Model Insight
With persistence 0.999, illiquidity shocks have a half-life of 1047 trading days (~4.2 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.
Asymmetry: Illiquidity rises 156% more after negative returns
ILLIQ-MFMEM Model
Tap to view equation
| Param | Value | t-stat |
|---|---|---|
| mwindow | 71 | |
| αARCH | 0.2125 | 4.43*** |
| βGARCH | 0.6208 | 25.78*** |
| γleverage | 0.3320 | 6.60*** |
| λ₁tau intercept | 10.0000 | 1.41 |
| λ₂forecast adj. | 1.0000 | 36.75*** |
| λ₃tau persistence | 0.0000 | 0.08 |
0.999
Persistence1047d
Half-lifeILLIQ-MFMEM Model
Tap to view equation
| Parameter | Value | t-statistic |
|---|---|---|
m window Rolling window length | 71 | |
α ARCH Response to squared shocks | 0.2125 | 4.43*** |
β GARCH Volatility persistence | 0.6208 | 25.78*** |
γ leverage Additional response to negative shocks | 0.3320 | 6.60*** |
λ₁ tau intercept Baseline long-term coefficient | 10.0000 | 1.41 |
λ₂ forecast adj. Forecast performance sensitivity | 1.0000 | 36.75*** |
λ₃ tau persistence Long-term factor persistence | 0.0000 | 0.08 |
Persistence:
0.999
Half-life:
1047 days
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