V-Lab
Juventus Football Club S.p.A. ILLIQ-MFMEM Liquidity Analysis
Illiquidity prediction for Monday, September 21st, 2026
1 Day
12,321.93
1 Week
10,035.95
1 Month
8,883.12
Analysis last updated: Saturday, September 19, 2026 at 10:50 PM UTC
News Impact Curve
How returns affect tomorrow's illiquidityIlliquidity Forecast
How illiquidity evolves over timeParameter Estimates
Dec 19, 2001 to Sep 18, 2026Model Insight
Illiquidity shocks decay with a half-life of 6 trading days, meaning a shock loses half its impact after approximately 6 days. 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
| Param | Value | t-stat |
|---|---|---|
| mwindow | 21 | |
| αARCH | 0.1376 | 14.46*** |
| βGARCH | 0.7917 | 51.35*** |
| γleverage | -0.0953 | -6.78*** |
| λ₁tau intercept | 4.2521 | 1.86* |
| λ₂forecast adj. | 0.3052 | 6.88*** |
| λ₃tau persistence | 0.6948 | 15.88*** |
0.882
Persistence6d
Half-lifeILLIQ-MFMEM Model
Tap to view equation
| Parameter | Value | t-statistic |
|---|---|---|
m window Rolling window length | 21 | |
α ARCH Response to squared shocks | 0.1376 | 14.46*** |
β GARCH Volatility persistence | 0.7917 | 51.35*** |
γ leverage Additional response to negative shocks | -0.0953 | -6.78*** |
λ₁ tau intercept Baseline long-term coefficient | 4.2521 | 1.86* |
λ₂ forecast adj. Forecast performance sensitivity | 0.3052 | 6.88*** |
λ₃ tau persistence Long-term factor persistence | 0.6948 | 15.88*** |
Persistence:
0.882
Half-life:
6 days
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