MFF Capital Investments Ltd Asymmetric 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 15th, 2026
1 Day
4,061.22
decreased by 138.62
1 Week
4,630.20
increased by 430.36
1 Month
6,029.97
increased by 1,830.13
Analysis last updated: Wednesday, July 15, 2026 at 06:09 PM UTC
News Impact Curve
How returns affect tomorrow's liquidityLiquidity Forecast
How liquidity evolves over timeParameter Estimates
Dec 19, 2006 to Jul 10, 2026Model Insight
With persistence 1.000, illiquidity shocks have a half-life of 1386294 trading days (~5501.2 years), close to a unit root, so long-run forecasts are highly sensitive to this estimate.
μ
ILLIQ-AMEM Model
Tap to view equation
| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 5.0000 | 0.40 |
α ARCH Response to squared shocks | 0.0716 | 17.19*** |
β GARCH Volatility persistence | 0.9199 | 247.88*** |
γ leverage Additional response to negative shocks | 0.0171 | 1.91* |
Persistence:
1.000
Half-life:
1386294 days
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