V-Lab
Takaful Emarat ILLIQ-MFMEM Liquidity Analysis
Illiquidity prediction for Sunday, September 6th, 2026
1 Day
3,211,411.00
1 Week
3,210,421.20
1 Month
3,210,166.70
Analysis last updated: Saturday, September 5, 2026 at 08:03 PM UTC
News Impact Curve
How returns affect tomorrow's illiquidityIlliquidity Forecast
How illiquidity evolves over timeParameter Estimates
Jul 26, 2008 to Sep 4, 2026Model Insight
With persistence 0.995, illiquidity shocks have a half-life of 133 trading days (~0.5 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.
ILLIQ-MFMEM Model
Tap to view equation
| Param | Value | t-stat |
|---|---|---|
| αARCH | 0.0901 | 0.28 |
| βGARCH | 0.9498 | 29.30*** |
| γleverage | -0.0901 | -0.15 |
| λ₁tau intercept | 30,958,014.0107 |
0.995
Persistence133d
Half-lifeILLIQ-MFMEM Model
Tap to view equation
| Parameter | Value | t-statistic |
|---|---|---|
α ARCH Response to squared shocks | 0.0901 | 0.28 |
β GARCH Volatility persistence | 0.9498 | 29.30*** |
γ leverage Additional response to negative shocks | -0.0901 | -0.15 |
λ₁ tau intercept Baseline long-term coefficient | 30,958,014.0107 |
Persistence:
0.995
Half-life:
133 days
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