Skip to main content
V-Lab

Tokyo Cement Co (Lanka) Ltd ILLIQ-MFMEM Liquidity Analysis

High-persistence model: shocks decay very slowly, so the theoretical long-run value may not be practically meaningful

Illiquidity prediction for Monday, July 27th, 2026

1 Day

13,602.47

increased by 180.53

1 Week

9,813.49

decreased by 3,608.45

1 Month

7,658.70

decreased by 5,763.24

Analysis last updated: Sunday, July 26, 2026 at 05:38 AM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

All

graph of Tokyo Cement Co (Lanka) Ltd ILLIQ-MFMEM

News Impact Curve

How returns affect tomorrow's illiquidity

Illiquidity Forecast

How illiquidity evolves over time

Parameter Estimates

Aug 11, 1997 to Jul 24, 2026

Model Insight

Estimated persistence of 1.000 is at or above 1 (non-stationary): illiquidity shocks do not decay and the long-run level is undefined, so long-horizon forecasts should be treated with caution. 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

111
α

ARCH

Response to squared shocks

0.0736
0.01
β

GARCH

Volatility persistence

0.9632
102.86***
γ

leverage

Additional response to negative shocks

-0.0736
-0.01
λ₁

tau intercept

Baseline long-term coefficient

0.0000
0.01
λ₂

forecast adj.

Forecast performance sensitivity

0.0001
0.01
λ₃

tau persistence

Long-term factor persistence

0.0001
0.01

Persistence:

1.000

Half-life:

-