V-Lab
Sfa Engineering Corp Asymmetric ILLIQ Liquidity Analysis
Illiquidity prediction for Monday, September 21st, 2026
1 Day
8.59
decreased by 0.75
1 Week
8.76
decreased by 0.58
1 Month
9.72
increased by 0.38
Analysis last updated: Sunday, September 20, 2026 at 01:25 AM UTC
News Impact Curve
How returns affect tomorrow's illiquidityIlliquidity Forecast
How illiquidity evolves over timeParameter Estimates
Apr 9, 2003 to Sep 18, 2026Model Insight
This asset shows asymmetric liquidity dynamics: illiquidity rises 177% more after negative returns than after positive returns of equal magnitude.
μ
ILLIQ-AMEM Model
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Asymmetry: Illiquidity rises 177% more after negative returns
| Param | Value | t-stat |
|---|---|---|
| ωconst | 0.0432 | 3.11*** |
| αARCH | 0.0555 | 4.77*** |
| βGARCH | 0.8852 | 120.33*** |
| γleverage | 0.0980 | 4.67*** |
0.990
Persistence67d
Half-lifeμ
ILLIQ-AMEM Model
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| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 0.0432 | 3.11*** |
α ARCH Response to squared shocks | 0.0555 | 4.77*** |
β GARCH Volatility persistence | 0.8852 | 120.33*** |
γ leverage Additional response to negative shocks | 0.0980 | 4.67*** |
Persistence:
0.990
Half-life:
67 days
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