Datagroup Se ILLIQ-MFMEM Liquidity Analysis
High-persistence model: shocks decay very slowly, so the theoretical long-run value may not be practically meaningful
Liquidity prediction for Monday, July 13th, 2026
1 Day
394,336.00
1 Week
413,460.70
1 Month
572,630.16
Analysis last updated: Saturday, July 11, 2026 at 08:03 PM UTC
News Impact Curve
How returns affect tomorrow's liquidityLiquidity Forecast
How liquidity evolves over timeParameter Estimates
Sep 14, 2006 to Jul 10, 2026Model Insight
Estimated persistence of 1.000 is at or above 1 (non-stationary): illiquidity shocks do not decay and the long-run level is undefined, so long-horizon forecasts should be treated with caution. 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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| Parameter | Value | t-statistic |
|---|---|---|
m window Rolling window length | 81 | |
α ARCH Response to squared shocks | 0.0724 | 0.33 |
β GARCH Volatility persistence | 0.9459 | 139.97*** |
γ leverage Additional response to negative shocks | -0.0366 | -0.09 |
λ₁ tau intercept Baseline long-term coefficient | 0.0562 | 0.35 |
λ₂ forecast adj. Forecast performance sensitivity | 0.0125 | 0.29 |
λ₃ tau persistence Long-term factor persistence | 0.1090 | 0.47 |
Persistence:
1.000
Half-life:
-
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