V-Lab
Barramundi Ltd ILLIQ-MFMEM Liquidity Analysis
Illiquidity prediction for Monday, August 24th, 2026
1 Day
107,116.50
1 Week
114,173.29
1 Month
113,829.69
Analysis last updated: Sunday, August 23, 2026 at 12:46 AM UTC
News Impact Curve
How returns affect tomorrow's illiquidityIlliquidity Forecast
How illiquidity evolves over timeParameter Estimates
Oct 26, 2006 to Aug 21, 2026Model Insight
Illiquidity shocks decay with a half-life of 1 trading day, meaning a shock loses half its impact after approximately 1 day. 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 | 21 | |
α ARCH Response to squared shocks | 0.5874 | 0.05 |
β GARCH Volatility persistence | 0.1117 | 6.32*** |
γ leverage Additional response to negative shocks | -0.5000 | -0.02 |
λ₁ tau intercept Baseline long-term coefficient | 10.0000 | 0.05 |
λ₂ forecast adj. Forecast performance sensitivity | 0.0164 | 0.06 |
λ₃ tau persistence Long-term factor persistence | 0.9836 | 47.69*** |
Persistence:
0.449
Half-life:
1 days
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