Mekdam Holding Group W.L.L 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 Monday, July 13th, 2026
1 Day
23,518.48
decreased by 2,141.80
1 Week
25,495.29
decreased by 164.99
1 Month
22,777.50
decreased by 2,882.78
Analysis last updated: Tuesday, July 14, 2026 at 08:02 PM UTC
News Impact Curve
How returns affect tomorrow's liquidityLiquidity Forecast
How liquidity evolves over timeParameter Estimates
Aug 7, 2021 to Jul 9, 2026Model Insight
With persistence 1.000, illiquidity shocks have a half-life of 46209 trading days (~183.4 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 | 1.2337 | 0.95 |
α ARCH Response to squared shocks | 0.1720 | 0.28 |
β GARCH Volatility persistence | 0.8280 | 1.35 |
Spline Coefficients
K=1
| γ1 | -0.4714 | -0.09 |
Persistence:
1.000
Half-life:
46209 days
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