And Factory Inc 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
5,573.15
1 Week
5,699.96
1 Month
6,288.06
Analysis last updated: Tuesday, July 14, 2026 at 07:22 PM UTC
News Impact Curve
How returns affect tomorrow's liquidityLiquidity Forecast
How liquidity evolves over timeParameter Estimates
Sep 6, 2018 to Jul 10, 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.
Asymmetry: Illiquidity rises 122% more after negative returns
ILLIQ-AMEM Model
Tap to view equation
| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 2.5663 | 7.24*** |
α ARCH Response to squared shocks | 0.0874 | 13.97*** |
β GARCH Volatility persistence | 0.8591 | 210.89*** |
γ leverage Additional response to negative shocks | 0.1068 | 8.56*** |
Persistence:
1.000
Half-life:
1386294 days
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