V-Lab
Juventus Football Club S.p.A. ILLIQ-MFMEM Liquidity Analysis
Illiquidity prediction for Thursday, September 10th, 2026
1 Day
9,268.35
1 Week
8,677.70
1 Month
8,456.29
Analysis last updated: Thursday, September 10, 2026 at 07:50 PM UTC
News Impact Curve
How returns affect tomorrow's illiquidityIlliquidity Forecast
How illiquidity evolves over timeParameter Estimates
Dec 19, 2001 to Sep 4, 2026Model Insight
Illiquidity shocks decay with a half-life of 39 trading days, meaning a shock loses half its impact after approximately 39 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 | 116 | |
| αARCH | 0.1532 | 21.99*** |
| βGARCH | 0.8539 | 102.71*** |
| γleverage | -0.0491 | -7.56*** |
| λ₁tau intercept | 0.1247 | 0.60 |
| λ₂forecast adj. | 0.0000 | 0.00 |
| λ₃tau persistence | 0.9987 | 140.29*** |
0.982
Persistence39d
Half-lifeILLIQ-MFMEM Model
Tap to view equation
| Parameter | Value | t-statistic |
|---|---|---|
m window Rolling window length | 116 | |
α ARCH Response to squared shocks | 0.1532 | 21.99*** |
β GARCH Volatility persistence | 0.8539 | 102.71*** |
γ leverage Additional response to negative shocks | -0.0491 | -7.56*** |
λ₁ tau intercept Baseline long-term coefficient | 0.1247 | 0.60 |
λ₂ forecast adj. Forecast performance sensitivity | 0.0000 | 0.00 |
λ₃ tau persistence Long-term factor persistence | 0.9987 | 140.29*** |
Persistence:
0.982
Half-life:
39 days
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