FII Vida Nova ILLIQ-MFMEM Liquidity Analysis
Illiquidity prediction for Tuesday, October 27th, 2026
1 Day
216,762,900.00
1 Week
144,787,348.00
1 Month
104,975,709.00
Analysis last updated: Tuesday, October 27, 2026 at 09:55 PM UTC
News Impact Curve
How returns affect tomorrow's illiquidityIlliquidity Forecast
How illiquidity evolves over timeParameter Estimates
Jun 4, 2015 to Oct 23, 2026Model Insight
With persistence 0.997, illiquidity shocks have a half-life of 199 trading days (~0.8 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 111% more after negative returns
ILLIQ-MFMEM Model
Tap to view equation
| Param | Value | t-stat |
|---|---|---|
| mwindow | 41 | |
| αARCH | 0.1409 | 9.08*** |
| βGARCH | 0.7771 | 149.84*** |
| γleverage | 0.1571 | 5.44*** |
| λ₁tau intercept | 0.0099 | 0.00 |
| λ₂forecast adj. | 1.0000 | 17.47*** |
| λ₃tau persistence | 0.0000 | 0.00 |
0.997
Persistence199d
Half-lifeILLIQ-MFMEM Model
Tap to view equation
| Parameter | Value | t-statistic |
|---|---|---|
m window Rolling window length | 41 | |
α ARCH Response to squared shocks | 0.1409 | 9.08*** |
β GARCH Volatility persistence | 0.7771 | 149.84*** |
γ leverage Additional response to negative shocks | 0.1571 | 5.44*** |
λ₁ tau intercept Baseline long-term coefficient | 0.0099 | 0.00 |
λ₂ forecast adj. Forecast performance sensitivity | 1.0000 | 17.47*** |
λ₃ tau persistence Long-term factor persistence | 0.0000 | 0.00 |
Persistence:
0.997
Half-life:
199 days
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