Trisul Sa ILLIQ-MFMEM Liquidity Analysis
Illiquidity prediction for Monday, October 19th, 2026
1 Day
10,912.57
1 Week
11,686.78
1 Month
12,436.29
Analysis last updated: Sunday, October 18, 2026 at 03:50 AM UTC
News Impact Curve
How returns affect tomorrow's illiquidityIlliquidity Forecast
How illiquidity evolves over timeParameter Estimates
Oct 19, 2007 to Oct 16, 2026Model Insight
With persistence 0.994, illiquidity shocks have a half-life of 111 trading days (~0.4 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 |
|---|---|---|
| mwindow | 96 | |
| αARCH | 0.0879 | 7.24*** |
| βGARCH | 0.9232 | 83.29*** |
| γleverage | -0.0346 | -3.18*** |
| λ₁tau intercept | 0.0000 | 0.00 |
| λ₂forecast adj. | 0.0012 | 0.36 |
| λ₃tau persistence | 0.9955 | 214.32*** |
0.994
Persistence111d
Half-lifeILLIQ-MFMEM Model
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| Parameter | Value | t-statistic |
|---|---|---|
m window Rolling window length | 96 | |
α ARCH Response to squared shocks | 0.0879 | 7.24*** |
β GARCH Volatility persistence | 0.9232 | 83.29*** |
γ leverage Additional response to negative shocks | -0.0346 | -3.18*** |
λ₁ tau intercept Baseline long-term coefficient | 0.0000 | 0.00 |
λ₂ forecast adj. Forecast performance sensitivity | 0.0012 | 0.36 |
λ₃ tau persistence Long-term factor persistence | 0.9955 | 214.32*** |
Persistence:
0.994
Half-life:
111 days
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