Takaful Emarat ILLIQ-MFMEM Liquidity Analysis
Illiquidity prediction for Sunday, October 11th, 2026
1 Day
3,104,426.00
1 Week
3,102,944.20
1 Month
3,104,064.76
Analysis last updated: Saturday, October 10, 2026 at 08:12 PM UTC
News Impact Curve
How returns affect tomorrow's illiquidityIlliquidity Forecast
How illiquidity evolves over timeParameter Estimates
Jul 26, 2008 to Oct 9, 2026Model Insight
With persistence 0.995, illiquidity shocks have a half-life of 136 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
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| Param | Value | t-stat |
|---|---|---|
| αARCH | 0.0905 | 0.28 |
| βGARCH | 0.9497 | 29.09*** |
| γleverage | -0.0905 | -0.15 |
| λ₁tau intercept | 30,736,087.8567 |
0.995
Persistence136d
Half-lifeILLIQ-MFMEM Model
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| Parameter | Value | t-statistic |
|---|---|---|
α ARCH Response to squared shocks | 0.0905 | 0.28 |
β GARCH Volatility persistence | 0.9497 | 29.09*** |
γ leverage Additional response to negative shocks | -0.0905 | -0.15 |
λ₁ tau intercept Baseline long-term coefficient | 30,736,087.8567 |
Persistence:
0.995
Half-life:
136 days
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