Placo Co Ltd 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 Tuesday, July 14th, 2026
1 Day
3,604.46
1 Week
3,460.34
1 Month
2,771.99
Analysis last updated: Tuesday, July 14, 2026 at 07:23 PM UTC
News Impact Curve
How returns affect tomorrow's liquidityLiquidity Forecast
How liquidity evolves over timeParameter Estimates
Jan 20, 1995 to Jul 10, 2026Model Insight
With persistence 1.000, illiquidity shocks have a half-life of 693147 trading days (~2750.6 years), close to a unit root, so long-run forecasts are highly sensitive to this estimate.
Asymmetry: Illiquidity rises 89% more after negative returns
ILLIQ-AMEM Model
Tap to view equation
| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 5.0000 | 3.97*** |
α ARCH Response to squared shocks | 0.0548 | 17.02*** |
β GARCH Volatility persistence | 0.9208 | 473.90*** |
γ leverage Additional response to negative shocks | 0.0489 | 10.11*** |
Persistence:
1.000
Half-life:
693147 days
Other Placo Co Ltd Analyses
Other Asymmetric ILLIQ Analyses on International Equities