Aurelius Technologies Berhad 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 Monday, July 20th, 2026
1 Day
18,901.20
decreased by 1,146.02
1 Week
18,175.61
decreased by 1,871.61
1 Month
22,357.58
increased by 2,310.36
Analysis last updated: Sunday, July 19, 2026 at 02:42 AM UTC
News Impact Curve
How returns affect tomorrow's liquidityLiquidity Forecast
How liquidity evolves over timeParameter Estimates
Dec 16, 2021 to Jul 17, 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.
μ
ILLIQ-AMEM Model
Tap to view equation
| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 5.0000 | 0.50 |
α ARCH Response to squared shocks | 0.1076 | 6.46*** |
β GARCH Volatility persistence | 0.8862 | 147.47*** |
γ leverage Additional response to negative shocks | 0.0125 | 0.57 |
Persistence:
1.000
Half-life:
-
Other Aurelius Technologies Berhad Analyses
Other Asymmetric ILLIQ Analyses on International Equities