V-Lab
Orsted AS ILLIQ-MFMEM Liquidity Analysis
High-persistence model: shocks decay very slowly, so the theoretical long-run value may not be practically meaningful
Illiquidity prediction for Wednesday, September 9th, 2026
1 Day
4,847,739.00
1 Week
4,563,027.00
1 Month
3,566,274.44
Analysis last updated: Wednesday, September 9, 2026 at 05:58 PM UTC
News Impact Curve
How returns affect tomorrow's illiquidityIlliquidity Forecast
How illiquidity evolves over timeParameter Estimates
Mar 31, 2026 to Sep 4, 2026Model Insight
With persistence 1.000, illiquidity shocks have a half-life of 22359 trading days (~88.7 years), close to a unit root, so long-run forecasts are highly sensitive to this estimate. 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.
Asymmetry: illiquidity responds almost entirely to negative returns
ILLIQ-MFMEM Model
Tap to view equation
| Param | Value | t-stat |
|---|---|---|
| mwindow | 21 | |
| αARCH | 0.0001 | 1.38 |
| βGARCH | 0.7623 | 169.63*** |
| γleverage | 0.4751 | 53.57*** |
| λ₁tau intercept | 0.3042 | 0.00 |
| λ₂forecast adj. | 0.1192 | 3.40*** |
| λ₃tau persistence | 0.8808 | 19.52*** |
1.000
Persistence22359d
Half-lifeILLIQ-MFMEM Model
Tap to view equation
| Parameter | Value | t-statistic |
|---|---|---|
m window Rolling window length | 21 | |
α ARCH Response to squared shocks | 0.0001 | 1.38 |
β GARCH Volatility persistence | 0.7623 | 169.63*** |
γ leverage Additional response to negative shocks | 0.4751 | 53.57*** |
λ₁ tau intercept Baseline long-term coefficient | 0.3042 | 0.00 |
λ₂ forecast adj. Forecast performance sensitivity | 0.1192 | 3.40*** |
λ₃ tau persistence Long-term factor persistence | 0.8808 | 19.52*** |
Persistence:
1.000
Half-life:
22359 days
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