BTB Korea Co Ltd Asymmetric ILLIQ Liquidity Analysis
High-persistence model: shocks decay very slowly, so the theoretical long-run value may not be practically meaningful
Liquidity prediction for Monday, July 20th, 2026
1 Day
899.55
increased by 196.66
1 Week
733.11
increased by 30.22
1 Month
814.43
increased by 111.54
Analysis last updated: Friday, July 17, 2026 at 08:46 PM UTC
News Impact Curve
How returns affect tomorrow's liquidityLiquidity Forecast
How liquidity evolves over timeParameter Estimates
Apr 5, 2017 to Jul 16, 2026Model Insight
Estimated persistence of 1.000 is at or above 1 (non-stationary): illiquidity shocks do not decay and the long-run level is undefined, so long-horizon forecasts should be treated with caution.
μ
ILLIQ-AMEM Model
Tap to view equation
| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 0.1064 | 2.16** |
α ARCH Response to squared shocks | 0.1078 | 9.94*** |
β GARCH Volatility persistence | 0.8781 | 301.86*** |
γ leverage Additional response to negative shocks | 0.0282 | 1.63 |
Persistence:
1.000
Half-life:
-
Other BTB Korea Co Ltd Analyses
Other Asymmetric ILLIQ Analyses on International Equities