Srinanaporn Marketing Pcl ILLIQ-MFMEM Liquidity Analysis
Illiquidity prediction for Thursday, October 8th, 2026
1 Day
7,497.80
1 Week
4,082.23
1 Month
3,835.76
Analysis last updated: Thursday, October 8, 2026 at 08:54 PM UTC
News Impact Curve
How returns affect tomorrow's illiquidityIlliquidity Forecast
How illiquidity evolves over timeParameter Estimates
Jul 20, 2021 to Oct 2, 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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| Param | Value | t-stat |
|---|---|---|
| mwindow | 36 | |
| αARCH | 0.1186 | 4.98*** |
| βGARCH | 0.7813 | 15.01*** |
| γleverage | -0.0361 | -1.67* |
| λ₁tau intercept | 10.0000 | 2.50** |
| λ₂forecast adj. | 1.0000 | 23.21*** |
| λ₃tau persistence | 0.0000 | 0.00 |
0.882
Persistence6d
Half-lifeILLIQ-MFMEM Model
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| Parameter | Value | t-statistic |
|---|---|---|
m window Rolling window length | 36 | |
α ARCH Response to squared shocks | 0.1186 | 4.98*** |
β GARCH Volatility persistence | 0.7813 | 15.01*** |
γ leverage Additional response to negative shocks | -0.0361 | -1.67* |
λ₁ tau intercept Baseline long-term coefficient | 10.0000 | 2.50** |
λ₂ forecast adj. Forecast performance sensitivity | 1.0000 | 23.21*** |
λ₃ tau persistence Long-term factor persistence | 0.0000 | 0.00 |
Persistence:
0.882
Half-life:
6 days
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