American Tower Corp Asymmetric ILLIQ Liquidity Analysis
Liquidity prediction for Monday, July 20th, 2026
1 Day
25.20
decreased by 0.91
1 Week
28.09
increased by 1.98
1 Month
33.97
increased by 7.86
Analysis last updated: Friday, July 17, 2026 at 10:37 PM UTC
News Impact Curve
How returns affect tomorrow's liquidityLiquidity Forecast
How liquidity evolves over timeParameter Estimates
Feb 27, 1998 to Jul 17, 2026Model Insight
With persistence 0.997, illiquidity shocks have a half-life of 213 trading days (~0.8 years), close to a unit root, so long-run forecasts are highly sensitive to this estimate.
Asymmetry: Illiquidity rises 110% more after negative returns
μ
ILLIQ-AMEM Model
Tap to view equation
| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 0.3328 | 15.03*** |
α ARCH Response to squared shocks | 0.0565 | 29.26*** |
β GARCH Volatility persistence | 0.9092 | 735.01*** |
γ leverage Additional response to negative shocks | 0.0620 | 19.37*** |
Persistence:
0.997
Half-life:
213 days
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