Vestum Ab (Publ) ILLIQ-MFMEM Liquidity Analysis
High-persistence model: shocks decay very slowly, so the theoretical long-run value may not be practically meaningful
Liquidity prediction for Tuesday, July 21st, 2026
1 Day
1,035.43
1 Week
1,446.10
1 Month
1,363.17
Analysis last updated: Tuesday, July 21, 2026 at 07:56 PM UTC
News Impact Curve
How returns affect tomorrow's liquidityLiquidity Forecast
How liquidity evolves over timeParameter Estimates
May 19, 2008 to Jul 17, 2026Model Insight
With persistence 1.000, illiquidity shocks have a half-life of 6243314768165359 trading days (~24775058603830.8 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
| Parameter | Value | t-statistic |
|---|---|---|
m window Rolling window length | 21 | |
α ARCH Response to squared shocks | 0.6615 | |
β GARCH Volatility persistence | 0.5282 | |
γ leverage Additional response to negative shocks | -0.3792 | |
λ₁ tau intercept Baseline long-term coefficient | 0.7993 | |
λ₂ forecast adj. Forecast performance sensitivity | 0.8205 | |
λ₃ tau persistence Long-term factor persistence | 0.1795 |
Persistence:
1.000
Half-life:
6243314768165359 days
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