V-Lab
GFI Co Ltd/Korea Asymmetric ILLIQ Liquidity Analysis
Illiquidity prediction for Tuesday, August 25th, 2026
1 Day
136.88
decreased by 9.55
1 Week
135.01
decreased by 11.42
1 Month
188.47
increased by 42.04
Analysis last updated: Tuesday, August 25, 2026 at 07:53 PM UTC
News Impact Curve
How returns affect tomorrow's illiquidityIlliquidity Forecast
How illiquidity evolves over timeParameter Estimates
Aug 22, 2024 to Aug 21, 2026Model Insight
Illiquidity shocks decay with a half-life of 45 trading days, meaning a shock loses half its impact after approximately 45 days.
μ
ILLIQ-AMEM Model
Tap to view equation
| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 2.3367 | 7.85*** |
α ARCH Response to squared shocks | 0.1085 | 5.42*** |
β GARCH Volatility persistence | 0.8704 | 78.61*** |
γ leverage Additional response to negative shocks | 0.0118 | 0.42 |
Persistence:
0.985
Half-life:
45 days
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