Roche Bobois SA 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 Wednesday, June 17th, 2026
1 Day
111,214,500.00
1 Week
111,214,500.00
1 Month
111,385,250.00
Analysis last updated: Wednesday, June 17, 2026 at 07:35 PM UTC
News Impact Curve
How returns affect tomorrow's liquidityLiquidity Forecast
How liquidity evolves over timeParameter Estimates
Apr 28, 2021 to Jun 5, 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.
ILLIQ-AMEM Model
Tap to view equation
| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 5.0000 | 0.00 |
α ARCH Response to squared shocks | 0.0092 | 0.97 |
β GARCH Volatility persistence | 0.9954 | 4.04*** |
γ leverage Additional response to negative shocks | -0.0092 | -0.06 |
Persistence:
1.000
Half-life:
-
Other Roche Bobois SA Analyses
Other Asymmetric ILLIQ Analyses on International Equities