Cayenne Entertainment Tech 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
3,929.74
increased by 483.54
1 Week
3,547.24
increased by 101.04
1 Month
3,158.04
decreased by 288.16
Analysis last updated: Friday, July 17, 2026 at 09:20 PM UTC
News Impact Curve
How returns affect tomorrow's liquidityLiquidity Forecast
How liquidity evolves over timeParameter Estimates
May 31, 2010 to Jul 3, 2026Model Insight
With persistence 1.000, illiquidity shocks have a half-life of 1386294 trading days (~5501.2 years), close to a unit root, so long-run forecasts are highly sensitive to this estimate.
μ
ILLIQ-AMEM Model
Tap to view equation
| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 4.7109 | 0.07 |
α ARCH Response to squared shocks | 0.0012 | 1.07 |
β GARCH Volatility persistence | 0.9747 | 599.45*** |
γ leverage Additional response to negative shocks | 0.0482 | 0.93 |
Persistence:
1.000
Half-life:
1386294 days
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