V-Lab
Polight As ILLIQ-MFMEM Liquidity Analysis
Illiquidity prediction for Tuesday, July 28th, 2026
1 Day
4,333.29
1 Week
4,764.02
1 Month
6,045.46
Analysis last updated: Tuesday, July 28, 2026 at 08:18 PM UTC
News Impact Curve
How returns affect tomorrow's illiquidityIlliquidity Forecast
How illiquidity evolves over timeParameter Estimates
Oct 1, 2018 to Jul 24, 2026Model Insight
With persistence 1.000, illiquidity shocks have a half-life of 3840 trading days (~15.2 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 rises 17% more after negative returns
ILLIQ-MFMEM Model
Tap to view equation
| Parameter | Value | t-statistic |
|---|---|---|
α ARCH Response to squared shocks | 0.1229 | 79.84*** |
β GARCH Volatility persistence | 0.8664 | 1,057.92*** |
γ leverage Additional response to negative shocks | 0.0210 | 12.01*** |
λ₁ tau intercept Baseline long-term coefficient | 682,532.6000 |
Persistence:
1.000
Half-life:
3840 days
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