Al Meera Consumer Goods Co Spline ILLIQ Liquidity Analysis
High-persistence model: shocks decay very slowly, so the theoretical long-run value may not be practically meaningful
Liquidity prediction for Wednesday, July 8th, 2026
1 Day
9,774.26
increased by 5,585.29
1 Week
4,194.85
increased by 5.88
1 Month
3,610.02
decreased by 578.95
Analysis last updated: Wednesday, July 8, 2026 at 10:54 PM UTC
News Impact Curve
How returns affect tomorrow's liquidityLiquidity Forecast
How liquidity evolves over timeParameter Estimates
Oct 31, 2009 to Jul 2, 2026Model Insight
With persistence 1.000, illiquidity shocks have a half-life of 49510 trading days (~196.5 years), close to a unit root, so long-run forecasts are highly sensitive to this estimate.
μ
ILLIQ-SMEM Model
Tap to view equation
| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 1.1168 | 0.07 |
α ARCH Response to squared shocks | 0.1605 | 0.05 |
β GARCH Volatility persistence | 0.8395 | 0.24 |
Spline Coefficients
K=2
| γ1 | -0.1485 | -0.30 |
| γ2 | 0.1554 | 0.18 |
Persistence:
1.000
Half-life:
49510 days
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