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Sfa Engineering Corp Asymmetric ILLIQ Liquidity Analysis

Illiquidity prediction for Wednesday, September 9th, 2026

1 Day

9.43

decreased by 0.24

1 Week

9.85

increased by 0.18

1 Month

10.39

increased by 0.72

Analysis last updated: Wednesday, September 9, 2026 at 08:07 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

All

graph of Sfa Engineering Corp ILLIQ-AMEM

News Impact Curve

How returns affect tomorrow's illiquidity

Illiquidity Forecast

How illiquidity evolves over time

Parameter Estimates

Apr 9, 2003 to Sep 4, 2026

Model Insight

This asset shows asymmetric liquidity dynamics: illiquidity rises 176% more after negative returns than after positive returns of equal magnitude.

μ

ILLIQ-AMEM Model

Tap to view equation

Asymmetry: Illiquidity rises 176% more after negative returns
ParamValuet-stat
ωconst0.0434
3.12***
αARCH0.0556
4.76***
βGARCH0.8850
119.99***
γleverage0.0980
4.66***

0.990

Persistence

67d

Half-life
μ

ILLIQ-AMEM Model

Tap to view equation

ParameterValuet-statistic
ω

const

Unconditional variance weight

0.0434
3.12***
α

ARCH

Response to squared shocks

0.0556
4.76***
β

GARCH

Volatility persistence

0.8850
119.99***
γ

leverage

Additional response to negative shocks

0.0980
4.66***

Persistence:

0.990

Half-life:

67 days