Bera HF ILLIQ-MFMEM Liquidity Analysis
Illiquidity prediction for Monday, October 26th, 2026
1 Day
7,953.93
1 Week
12,031.36
1 Month
13,073.73
Analysis last updated: Sunday, October 25, 2026 at 03:55 AM UTC
News Impact Curve
How returns affect tomorrow's illiquidityIlliquidity Forecast
How illiquidity evolves over timeParameter Estimates
Jun 9, 2022 to Oct 23, 2026Model Insight
With persistence 0.997, illiquidity shocks have a half-life of 253 trading days (~1.0 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
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| Param | Value | t-stat |
|---|---|---|
| mwindow | 116 | |
| αARCH | 0.4251 | 0.44 |
| βGARCH | 0.7847 | 8.90*** |
| γleverage | -0.4251 | -0.24 |
| λ₁tau intercept | 10.0000 | 0.00 |
| λ₂forecast adj. | 0.0046 | 0.13 |
| λ₃tau persistence | 0.9954 | 3.23*** |
0.997
Persistence253d
Half-lifeILLIQ-MFMEM Model
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| Parameter | Value | t-statistic |
|---|---|---|
m window Rolling window length | 116 | |
α ARCH Response to squared shocks | 0.4251 | 0.44 |
β GARCH Volatility persistence | 0.7847 | 8.90*** |
γ leverage Additional response to negative shocks | -0.4251 | -0.24 |
λ₁ tau intercept Baseline long-term coefficient | 10.0000 | 0.00 |
λ₂ forecast adj. Forecast performance sensitivity | 0.0046 | 0.13 |
λ₃ tau persistence Long-term factor persistence | 0.9954 | 3.23*** |
Persistence:
0.997
Half-life:
253 days
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