Netyear Group Corp 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 Friday, July 17th, 2026
1 Day
13,824.27
1 Week
10,219.46
1 Month
6,193.13
Analysis last updated: Friday, July 17, 2026 at 07:43 PM UTC
News Impact Curve
How returns affect tomorrow's liquidityLiquidity Forecast
How liquidity evolves over timeParameter Estimates
Mar 7, 2008 to Jul 10, 2026Model Insight
With persistence 1.000, illiquidity shocks have a half-life of 693147 trading days (~2750.6 years), close to a unit root, so long-run forecasts are highly sensitive to this estimate.
Asymmetry: Illiquidity rises 191% more after negative returns
ILLIQ-AMEM Model
Tap to view equation
| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 0.0960 | 0.91 |
α ARCH Response to squared shocks | 0.0795 | 22.57*** |
β GARCH Volatility persistence | 0.8444 | 320.19*** |
γ leverage Additional response to negative shocks | 0.1522 | 29.08*** |
Persistence:
1.000
Half-life:
693147 days
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