V-Lab
Zymeworks Inc. ILLIQ-MFMEM Liquidity Analysis
Illiquidity prediction for Monday, September 21st, 2026
1 Day
1,573.93
1 Week
1,631.24
1 Month
1,689.73
Analysis last updated: Friday, September 18, 2026 at 11:04 PM UTC
News Impact Curve
How returns affect tomorrow's illiquidityIlliquidity Forecast
How illiquidity evolves over timeParameter Estimates
Apr 28, 2017 to Sep 18, 2026Model Insight
With persistence 0.991, illiquidity shocks have a half-life of 73 trading days (~0.3 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.
Asymmetry: Illiquidity rises 80% more after negative returns
ILLIQ-MFMEM Model
Tap to view equation
| Param | Value | t-stat |
|---|---|---|
| mwindow | 61 | |
| αARCH | 0.0745 | 11.46*** |
| βGARCH | 0.8862 | 145.36*** |
| γleverage | 0.0595 | 4.41*** |
| λ₁tau intercept | 10.0000 | 0.02 |
| λ₂forecast adj. | 1.0000 | 29.47*** |
| λ₃tau persistence | 0.0000 | 0.00 |
0.991
Persistence73d
Half-lifeILLIQ-MFMEM Model
Tap to view equation
| Parameter | Value | t-statistic |
|---|---|---|
m window Rolling window length | 61 | |
α ARCH Response to squared shocks | 0.0745 | 11.46*** |
β GARCH Volatility persistence | 0.8862 | 145.36*** |
γ leverage Additional response to negative shocks | 0.0595 | 4.41*** |
λ₁ tau intercept Baseline long-term coefficient | 10.0000 | 0.02 |
λ₂ forecast adj. Forecast performance sensitivity | 1.0000 | 29.47*** |
λ₃ tau persistence Long-term factor persistence | 0.0000 | 0.00 |
Persistence:
0.991
Half-life:
73 days
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