Aurelius Technologies Berhad 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
22,678.82
1 Week
23,152.18
1 Month
23,399.69
Analysis last updated: Sunday, July 19, 2026 at 02:42 AM UTC
News Impact Curve
How returns affect tomorrow's liquidityLiquidity Forecast
How liquidity evolves over timeParameter Estimates
Dec 16, 2021 to Jul 17, 2026Model Insight
With persistence 1.000, illiquidity shocks have a half-life of 69314 trading days (~275.1 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
| Parameter | Value | t-statistic |
|---|---|---|
m window Rolling window length | 31 | |
α ARCH Response to squared shocks | 0.1441 | 1.52 |
β GARCH Volatility persistence | 0.6796 | 32.22*** |
γ leverage Additional response to negative shocks | 0.3527 | 1.96* |
λ₁ tau intercept Baseline long-term coefficient | 0.0000 | 0.00 |
λ₂ forecast adj. Forecast performance sensitivity | 0.9999 | 1.54 |
λ₃ tau persistence Long-term factor persistence | 0.0001 | 0.00 |
Persistence:
1.000
Half-life:
69314 days
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