Nanshan Aluminium Internatio Asymmetric ILLIQ Liquidity Analysis
Liquidity prediction for Monday, July 20th, 2026
1 Day
933.61
increased by 62.90
1 Week
961.25
increased by 90.54
1 Month
1,065.81
increased by 195.10
Analysis last updated: Saturday, July 18, 2026 at 11:31 PM UTC
News Impact Curve
How returns affect tomorrow's liquidityLiquidity Forecast
How liquidity evolves over timeParameter Estimates
Mar 25, 2025 to Jul 17, 2026Model Insight
With persistence 0.999, illiquidity shocks have a half-life of 1316 trading days (~5.2 years), close to a unit root, so long-run forecasts are highly sensitive to this estimate.
Asymmetry: Illiquidity rises 77% more after negative returns
μ
ILLIQ-AMEM Model
Tap to view equation
| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 5.0000 | 2.12** |
α ARCH Response to squared shocks | 0.1189 | 8.79*** |
β GARCH Volatility persistence | 0.8351 | 82.87*** |
γ leverage Additional response to negative shocks | 0.0910 | 3.01*** |
Persistence:
0.999
Half-life:
1316 days
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