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SAN Miguel Corp ILLIQ-MFMEM Liquidity Analysis

Illiquidity prediction for Monday, July 27th, 2026

1 Day

1,002.28

decreased by 122.65

1 Week

1,187.71

increased by 62.78

1 Month

2,081.53

increased by 956.60

Analysis last updated: Sunday, July 26, 2026 at 05:03 AM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

All

graph of SAN Miguel Corp ILLIQ-MFMEM

News Impact Curve

How returns affect tomorrow's illiquidity

Illiquidity Forecast

How illiquidity evolves over time

Parameter Estimates

Jun 24, 1994 to Jul 24, 2026

Model Insight

Illiquidity shocks decay with a half-life of 6 trading days, meaning a shock loses half its impact after approximately 6 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

81
α

ARCH

Response to squared shocks

0.1282
0.16
β

GARCH

Volatility persistence

0.8271
20.87***
γ

leverage

Additional response to negative shocks

-0.1282
-0.08
λ₁

tau intercept

Baseline long-term coefficient

0.9596
0.33
λ₂

forecast adj.

Forecast performance sensitivity

0.0780
0.32
λ₃

tau persistence

Long-term factor persistence

0.9220
3.78***

Persistence:

0.891

Half-life:

6 days