V-Lab
Cyient Limited 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 Tuesday, September 8th, 2026
1 Day
23.35
1 Week
24.17
1 Month
29.50
Analysis last updated: Tuesday, September 8, 2026 at 08:36 PM UTC
News Impact Curve
How returns affect tomorrow's illiquidityIlliquidity Forecast
How illiquidity evolves over timeParameter Estimates
Jun 29, 2000 to Sep 4, 2026Model Insight
With persistence 1.000, illiquidity shocks have a half-life of 32239 trading days (~127.9 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.
Asymmetry: Illiquidity rises 71% more after negative returns
ILLIQ-MFMEM Model
Tap to view equation
| Param | Value | t-stat |
|---|---|---|
| mwindow | 21 | |
| αARCH | 0.2191 | 15.19*** |
| βGARCH | 0.7033 | 238.42*** |
| γleverage | 0.1551 | 6.14*** |
| λ₁tau intercept | 3.3236 | 0.00 |
| λ₂forecast adj. | 0.1431 | 2.59*** |
| λ₃tau persistence | 0.8569 | 16.19*** |
1.000
Persistence32239d
Half-lifeILLIQ-MFMEM Model
Tap to view equation
| Parameter | Value | t-statistic |
|---|---|---|
m window Rolling window length | 21 | |
α ARCH Response to squared shocks | 0.2191 | 15.19*** |
β GARCH Volatility persistence | 0.7033 | 238.42*** |
γ leverage Additional response to negative shocks | 0.1551 | 6.14*** |
λ₁ tau intercept Baseline long-term coefficient | 3.3236 | 0.00 |
λ₂ forecast adj. Forecast performance sensitivity | 0.1431 | 2.59*** |
λ₃ tau persistence Long-term factor persistence | 0.8569 | 16.19*** |
Persistence:
1.000
Half-life:
32239 days
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