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Cynca Nordic AB ILLIQ-MFMEM Liquidity Analysis

Illiquidity prediction for Monday, October 19th, 2026

1 Day

10,681.07

decreased by 4,605.28

1 Week

7,979.61

decreased by 7,306.74

1 Month

5,966.80

decreased by 9,319.55

Analysis last updated: Sunday, October 18, 2026 at 02:10 AM UTC

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Date Range:

from

10/16/2024

to

10/16/2026

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

All

graph of Cynca Nordic AB ILLIQ-MFMEM

News Impact Curve

How returns affect tomorrow's illiquidity

Illiquidity Forecast

How illiquidity evolves over time

Parameter Estimates

May 19, 2008 to Oct 16, 2026
Stationarity Enforced
Boundary Parameters

Model Insight

With persistence 0.995, illiquidity shocks have a half-life of 138 trading days (~0.5 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.

μ

ILLIQ-MFMEM Model

Tap to view equation

High persistence: persistence 0.995, shock half-life ~138 days
ParamValuet-stat
mwindow76
αARCH0.7828
0.44
βGARCH0.4622
1.36
γleverage-0.5000
-0.18
λ₁tau intercept10.0000
0.00
λ₂forecast adj.0.9700
1.03
λ₃tau persistence0.0300
0.48

0.995

Persistence

138d

Half-life
μ

ILLIQ-MFMEM Model

Tap to view equation

ParameterValuet-statistic
m

window

Rolling window length

76
α

ARCH

Response to squared shocks

0.7828
0.44
β

GARCH

Volatility persistence

0.4622
1.36
γ

leverage

Additional response to negative shocks

-0.5000
-0.18
λ₁

tau intercept

Baseline long-term coefficient

10.0000
0.00
λ₂

forecast adj.

Forecast performance sensitivity

0.9700
1.03
λ₃

tau persistence

Long-term factor persistence

0.0300
0.48

Persistence:

0.995

Half-life:

138 days