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V-Lab

MFF Capital Investments Ltd Spline ILLIQ Liquidity Analysis

Illiquidity prediction for Monday, August 10th, 2026

1 Day

6,610.83

decreased by 151.89

1 Week

6,454.37

decreased by 308.35

1 Month

5,246.59

decreased by 1,516.13

Analysis last updated: Saturday, August 8, 2026 at 06:08 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

All

graph of MFF Capital Investments Ltd ILLIQ-SMEM

News Impact Curve

How returns affect tomorrow's illiquidity

Illiquidity Forecast

How illiquidity evolves over time

Parameter Estimates

Dec 19, 2006 to Aug 7, 2026

Model Insight

This model fits a time-varying baseline (a spline), so illiquidity mean-reverts toward a slowly-shifting long-run level rather than a constant. Short-run deviations decay with a half-life of 11 trading days.

μ

ILLIQ-SMEM Model

Tap to view equation

ParameterValuet-statistic
ω

const

Unconditional variance weight

0.5621
6.98***
α

ARCH

Response to squared shocks

0.1284
5.48***
β

GARCH

Volatility persistence

0.8106
26.84***
γi Spline Coefficients
K=5
γ1-0.3605
-8.38***
γ20.4639
7.48***
γ3-0.1032
-3.24***
γ4-0.0046
-0.18
γ5-0.0055
-0.14

Persistence:

0.939

Half-life:

11 days