V-Lab
Mega First Corp Bhd Spline ILLIQ Liquidity Analysis
High-persistence model: shocks decay very slowly, so the theoretical long-run value may not be practically meaningful
Illiquidity prediction for Friday, October 2nd, 2026
1 Day
0.00
decreased by 5,858.23
1 Week
5,384.68
decreased by 473.55
1 Month
6,535.82
increased by 677.59
Analysis last updated: Friday, October 2, 2026 at 08:59 PM UTC
Press Delete or Backspace to remove this series.
News Impact Curve
How returns affect tomorrow's illiquidityIlliquidity Forecast
How illiquidity evolves over timeParameter Estimates
Jun 24, 1994 to Sep 25, 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.
μ
ILLIQ-SMEM Model
Tap to view equation
High persistence: persistence 1.000 ≥ 1, shocks do not decay
| Param | Value | t-stat |
|---|---|---|
| ωconst | 0.5115 | |
| αARCH | 0.1153 | |
| βGARCH | 0.8847 |
Spline Coefficients
K=8
| γ1 | 0.1301 | |
| γ2 | 0.0715 | |
| γ3 | 0.0763 | |
| γ4 | -0.3545 | |
| γ5 | 1.1245 | |
| γ6 | -2.6132 | |
| γ7 | 2.1017 | |
| γ8 | -1.0281 |
1.000
Persistence-
Half-lifeμ
ILLIQ-SMEM Model
Tap to view equation
| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 0.5115 | |
α ARCH Response to squared shocks | 0.1153 | |
β GARCH Volatility persistence | 0.8847 |
Spline Coefficients
K=8
| γ1 | 0.1301 | |
| γ2 | 0.0715 | |
| γ3 | 0.0763 | |
| γ4 | -0.3545 | |
| γ5 | 1.1245 | |
| γ6 | -2.6132 | |
| γ7 | 2.1017 | |
| γ8 | -1.0281 |
Persistence:
1.000
Half-life:
-
Other Mega First Corp Bhd Analyses
Other Spline ILLIQ Analyses on International Equities