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Lvmh Moet Hennessy Louis V ILLIQ-MFMEM Liquidity Analysis

Illiquidity prediction for Monday, July 27th, 2026

1 Day

9,433.97

decreased by 167.45

1 Week

9,776.58

increased by 175.16

1 Month

8,779.25

decreased by 822.17

Analysis last updated: Sunday, July 26, 2026 at 12:04 AM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

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graph of Lvmh Moet Hennessy Louis V ILLIQ-MFMEM

News Impact Curve

How returns affect tomorrow's illiquidity

Illiquidity Forecast

How illiquidity evolves over time

Parameter Estimates

Jun 23, 2008 to Jul 24, 2026

Model Insight

Illiquidity shocks decay with a half-life of 26 trading days, meaning a shock loses half its impact after approximately 26 days. This multi-frequency model splits illiquidity into a fast short-run component and a slow-moving long-run level that drifts over the sample rather than a constant baseline.

μ

ILLIQ-MFMEM Model

Tap to view equation

ParameterValuet-statistic
m

window

Rolling window length

101
α

ARCH

Response to squared shocks

0.0649
18.17***
β

GARCH

Volatility persistence

0.9245
481.00***
γ

leverage

Additional response to negative shocks

-0.0311
-3.47***
λ₁

tau intercept

Baseline long-term coefficient

0.6822
24.34***
λ₂

forecast adj.

Forecast performance sensitivity

0.0000
0.03
λ₃

tau persistence

Long-term factor persistence

0.9991
2,548.65***

Persistence:

0.974

Half-life:

26 days