Chien Shing Harbour Service 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 Thursday, July 9th, 2026
1 Day
4,854.53
1 Week
3,052.84
1 Month
2,795.24
Analysis last updated: Thursday, July 9, 2026 at 08:26 PM UTC
News Impact Curve
How returns affect tomorrow's liquidityLiquidity Forecast
How liquidity evolves over timeParameter Estimates
Sep 6, 2018 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.
Asymmetry: Illiquidity rises 123% more after negative returns
ILLIQ-AMEM Model
Tap to view equation
| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 5.0000 | 4.15*** |
α ARCH Response to squared shocks | 0.0893 | 19.05*** |
β GARCH Volatility persistence | 0.8557 | 272.85*** |
γ leverage Additional response to negative shocks | 0.1102 | 8.67*** |
Persistence:
1.000
Half-life:
1386294 days
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