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 Monday, September 28th, 2026
1 Day
51.34
1 Week
39.02
1 Month
30.45
Analysis last updated: Saturday, September 26, 2026 at 08:06 PM UTC
News Impact Curve
How returns affect tomorrow's illiquidityIlliquidity Forecast
How illiquidity evolves over timeParameter Estimates
Jun 29, 2000 to Sep 25, 2026Model Insight
With persistence 1.000, illiquidity shocks have a half-life of 38508 trading days (~152.8 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 72% more after negative returns
ILLIQ-MFMEM Model
Tap to view equation
| Param | Value | t-stat |
|---|---|---|
| mwindow | 21 | |
| αARCH | 0.2184 | 15.19*** |
| βGARCH | 0.7029 | 306.25*** |
| γleverage | 0.1574 | 6.16*** |
| λ₁tau intercept | 5.0763 | 0.01 |
| λ₂forecast adj. | 0.1436 | 2.60*** |
| λ₃tau persistence | 0.8564 | 16.19*** |
1.000
Persistence38508d
Half-lifeILLIQ-MFMEM Model
Tap to view equation
| Parameter | Value | t-statistic |
|---|---|---|
m window Rolling window length | 21 | |
α ARCH Response to squared shocks | 0.2184 | 15.19*** |
β GARCH Volatility persistence | 0.7029 | 306.25*** |
γ leverage Additional response to negative shocks | 0.1574 | 6.16*** |
λ₁ tau intercept Baseline long-term coefficient | 5.0763 | 0.01 |
λ₂ forecast adj. Forecast performance sensitivity | 0.1436 | 2.60*** |
λ₃ tau persistence Long-term factor persistence | 0.8564 | 16.19*** |
Persistence:
1.000
Half-life:
38508 days
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