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V-Lab

Uniform Industrial 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 Wednesday, July 22nd, 2026

1 Day

1,624.18

decreased by 232.71

1 Week

1,779.19

decreased by 77.70

1 Month

2,847.21

increased by 990.32

Analysis last updated: Wednesday, July 22, 2026 at 08:18 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

All

graph of Uniform Industrial ILLIQ-AMEM

News Impact Curve

How returns affect tomorrow's liquidity

Liquidity Forecast

How liquidity evolves over time

Parameter Estimates

Feb 15, 2002 to Jul 17, 2026

Model 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.

Asymmetry: Illiquidity rises 210% more after negative returns

μ

ILLIQ-AMEM Model

Tap to view equation

ParameterValuet-statistic
ω

const

Unconditional variance weight

2.5706
6.50***
α

ARCH

Response to squared shocks

0.0784
22.79***
β

GARCH

Volatility persistence

0.8394
389.88***
γ

leverage

Additional response to negative shocks

0.1644
27.41***

Persistence:

1.000

Half-life:

-