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Atlas Menkul Kiymetler Yatir ILLIQ-MFMEM Liquidity Analysis
Illiquidity prediction for Monday, July 27th, 2026
1 Day
2,348.02
1 Week
3,384.69
1 Month
3,701.75
Analysis last updated: Sunday, July 26, 2026 at 06:08 AM UTC
News Impact Curve
How returns affect tomorrow's illiquidityIlliquidity Forecast
How illiquidity evolves over timeParameter Estimates
Mar 28, 1995 to Jul 24, 2026Model Insight
Illiquidity shocks decay with a half-life of 3 trading days, meaning a shock loses half its impact after approximately 3 days. 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 | 56 | |
α ARCH Response to squared shocks | 0.2526 | 0.12 |
β GARCH Volatility persistence | 0.6774 | 10.29*** |
γ leverage Additional response to negative shocks | -0.2526 | -0.06 |
λ₁ tau intercept Baseline long-term coefficient | 10.0000 | 2.09** |
λ₂ forecast adj. Forecast performance sensitivity | 0.3050 | 0.37 |
λ₃ tau persistence Long-term factor persistence | 0.6950 | 0.42 |
Persistence:
0.804
Half-life:
3 days
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