SAN Miguel Corp ILLIQ-MFMEM Liquidity Analysis
Liquidity prediction for Tuesday, July 21st, 2026
1 Day
1,422.97
1 Week
1,675.95
1 Month
2,319.66
Analysis last updated: Tuesday, July 21, 2026 at 07:36 PM UTC
News Impact Curve
How returns affect tomorrow's liquidityLiquidity Forecast
How liquidity evolves over timeParameter Estimates
Jun 24, 1994 to Jul 17, 2026Model 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.
ILLIQ-MFMEM Model
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| Parameter | Value | t-statistic |
|---|---|---|
m window Rolling window length | 81 | |
α ARCH Response to squared shocks | 0.1278 | 0.16 |
β GARCH Volatility persistence | 0.8277 | 20.97*** |
γ leverage Additional response to negative shocks | -0.1278 | -0.08 |
λ₁ tau intercept Baseline long-term coefficient | 0.9616 | 0.33 |
λ₂ forecast adj. Forecast performance sensitivity | 0.0778 | 0.32 |
λ₃ tau persistence Long-term factor persistence | 0.9222 | 3.81*** |
Persistence:
0.892
Half-life:
6 days
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