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Katana Capital Ltd/Fund ILLIQ-MFMEM Liquidity Analysis

High-persistence model: shocks decay very slowly, so the theoretical long-run value may not be practically meaningful

Illiquidity prediction for Monday, August 10th, 2026

1 Day

654,931,500.00

decreased by 8,852,000.00

1 Week

659,357,500.00

decreased by 4,426,000.00

1 Month

690,885,337.50

increased by 27,101,837.50

Analysis last updated: Saturday, August 8, 2026 at 05:59 PM UTC

Date Range:

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to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

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graph of Katana Capital Ltd/Fund ILLIQ-MFMEM

News Impact Curve

How returns affect tomorrow's illiquidity

Illiquidity Forecast

How illiquidity evolves over time

Parameter Estimates

Dec 27, 2005 to Aug 7, 2026
Illiquid Asset

Model Insight

With persistence 1.000, illiquidity shocks have a half-life of 11179 trading days (~44.4 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.

μ

ILLIQ-MFMEM Model

Tap to view equation

ParameterValuet-statistic
m

window

Rolling window length

126
α

ARCH

Response to squared shocks

0.0277
1.19
β

GARCH

Volatility persistence

0.9828
235.07***
γ

leverage

Additional response to negative shocks

-0.0212
-0.53
λ₁

tau intercept

Baseline long-term coefficient

4.7944
0.00
λ₂

forecast adj.

Forecast performance sensitivity

0.0011
1.01
λ₃

tau persistence

Long-term factor persistence

0.9989
129.90***

Persistence:

1.000

Half-life:

11179 days