V-Lab
Taiwan Taxi Co Ltd Asymmetric ILLIQ Liquidity Analysis
High-persistence model: shocks decay very slowly, so the theoretical long-run value may not be practically meaningful
Illiquidity prediction for Friday, July 24th, 2026
1 Day
2,079.25
increased by 321.10
1 Week
2,033.83
increased by 275.68
1 Month
2,692.52
increased by 934.37
Analysis last updated: Friday, July 24, 2026 at 08:40 PM UTC
News Impact Curve
How returns affect tomorrow's illiquidityIlliquidity Forecast
How illiquidity evolves over timeParameter Estimates
Jul 25, 2011 to Jul 17, 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 | 5.0000 | 0.29 |
α ARCH Response to squared shocks | 0.1928 | 4.73*** |
β GARCH Volatility persistence | 0.8122 | 73.82*** |
γ leverage Additional response to negative shocks | -0.0101 | -0.13 |
Persistence:
1.000
Half-life:
-
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