Grimoldi SA 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
10,178.42
1 Week
12,519.76
1 Month
17,147.05
Analysis last updated: Saturday, July 11, 2026 at 05:54 PM UTC
News Impact Curve
How returns affect tomorrow's liquidityLiquidity Forecast
How liquidity evolves over timeParameter Estimates
Dec 11, 1995 to Jul 10, 2026Model Insight
With persistence 1.000, illiquidity shocks have a half-life of 6243314768165359 trading days (~24775058603830.8 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.
ILLIQ-MFMEM Model
Tap to view equation
| Parameter | Value | t-statistic |
|---|---|---|
m window Rolling window length | 126 | |
α ARCH Response to squared shocks | 0.3283 | 3.51*** |
β GARCH Volatility persistence | 0.8300 | 116.17*** |
γ leverage Additional response to negative shocks | -0.3167 | -2.72*** |
λ₁ tau intercept Baseline long-term coefficient | 0.0000 | |
λ₂ forecast adj. Forecast performance sensitivity | 0.0000 | 0.04 |
λ₃ tau persistence Long-term factor persistence | 0.9902 | 1,864.76*** |
Persistence:
1.000
Half-life:
6243314768165359 days
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