Bolsa DE Valores DE Caracas ILLIQ-MFMEM Liquidity Analysis
High-persistence model: shocks decay very slowly, so the theoretical long-run value may not be practically meaningful
Illiquidity prediction for Monday, October 19th, 2026
1 Day
9,312.39
1 Week
5,038.81
1 Month
5,443.06
Analysis last updated: Sunday, October 18, 2026 at 03:14 AM UTC
News Impact Curve
How returns affect tomorrow's illiquidityIlliquidity Forecast
How illiquidity evolves over timeParameter Estimates
Mar 23, 2017 to Oct 16, 2026Model Insight
With persistence 1.000, illiquidity shocks have a half-life of 17773 trading days (~70.5 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 | 51 | |
| αARCH | 0.2116 | 0.07 |
| βGARCH | 0.8796 | 0.59 |
| γleverage | -0.1825 | -0.05 |
| λ₁tau intercept | 10.0000 | 0.00 |
| λ₂forecast adj. | 0.0001 | 0.00 |
| λ₃tau persistence | 0.9998 | 0.28 |
1.000
Persistence17773d
Half-lifeILLIQ-MFMEM Model
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| Parameter | Value | t-statistic |
|---|---|---|
m window Rolling window length | 51 | |
α ARCH Response to squared shocks | 0.2116 | 0.07 |
β GARCH Volatility persistence | 0.8796 | 0.59 |
γ leverage Additional response to negative shocks | -0.1825 | -0.05 |
λ₁ tau intercept Baseline long-term coefficient | 10.0000 | 0.00 |
λ₂ forecast adj. Forecast performance sensitivity | 0.0001 | 0.00 |
λ₃ tau persistence Long-term factor persistence | 0.9998 | 0.28 |
Persistence:
1.000
Half-life:
17773 days
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