Regal Holding Co 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 Thursday, October 8th, 2026
1 Day
4,242.20
1 Week
4,749.93
1 Month
4,986.81
Analysis last updated: Thursday, October 8, 2026 at 08:45 PM UTC
News Impact Curve
How returns affect tomorrow's illiquidityIlliquidity Forecast
How illiquidity evolves over timeParameter Estimates
Nov 28, 2016 to Oct 2, 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.
Asymmetry: Illiquidity rises 300% more after negative returns
ILLIQ-AMEM Model
Tap to view equation
| Param | Value | t-stat |
|---|---|---|
| ωconst | 5.0000 | 0.07 |
| αARCH | 0.0326 | 1.44 |
| βGARCH | 0.9187 | 50.37*** |
| γleverage | 0.0975 | 3.53*** |
1.000
Persistence-
Half-lifeILLIQ-AMEM Model
Tap to view equation
| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 5.0000 | 0.07 |
α ARCH Response to squared shocks | 0.0326 | 1.44 |
β GARCH Volatility persistence | 0.9187 | 50.37*** |
γ leverage Additional response to negative shocks | 0.0975 | 3.53*** |
Persistence:
1.000
Half-life:
-
Other Regal Holding Co Analyses
Other Asymmetric ILLIQ Analyses on International Equities