V-Lab
MCR SA 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 Wednesday, August 5th, 2026
1 Day
836,878.00
1 Week
900,798.14
1 Month
1,616,638.15
Analysis last updated: Wednesday, August 5, 2026 at 07:59 PM UTC
News Impact Curve
How returns affect tomorrow's illiquidityIlliquidity Forecast
How illiquidity evolves over timeParameter Estimates
Jul 30, 2007 to Jul 31, 2026Model Insight
Estimated persistence of 1.000 is at or above 1 (non-stationary): illiquidity shocks do not decay and the long-run level is undefined, so long-horizon forecasts should be treated with caution. 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 | 106 | |
α ARCH Response to squared shocks | 0.2148 | 0.07 |
β GARCH Volatility persistence | 0.8926 | 52.75*** |
γ leverage Additional response to negative shocks | -0.2148 | -0.03 |
λ₁ tau intercept Baseline long-term coefficient | 10.0000 | 0.07 |
λ₂ forecast adj. Forecast performance sensitivity | 0.0000 | 0.02 |
λ₃ tau persistence Long-term factor persistence | 0.0000 | 0.07 |
Persistence:
1.000
Half-life:
-
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