V-Lab
GFI Co Ltd/Korea Asymmetric ILLIQ Liquidity Analysis
Illiquidity prediction for Wednesday, August 19th, 2026
1 Day
126.92
increased by 1.65
1 Week
131.83
increased by 6.56
1 Month
205.34
increased by 80.07
Analysis last updated: Wednesday, August 19, 2026 at 07:54 PM UTC
News Impact Curve
How returns affect tomorrow's illiquidityIlliquidity Forecast
How illiquidity evolves over timeParameter Estimates
Aug 22, 2024 to Aug 14, 2026Model Insight
Illiquidity shocks decay with a half-life of 43 trading days, meaning a shock loses half its impact after approximately 43 days.
μ
ILLIQ-AMEM Model
Tap to view equation
| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 2.3862 | 7.92*** |
α ARCH Response to squared shocks | 0.1093 | 5.35*** |
β GARCH Volatility persistence | 0.8689 | 74.84*** |
γ leverage Additional response to negative shocks | 0.0113 | 0.40 |
Persistence:
0.984
Half-life:
43 days
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