Bitgo Holdings Inc Asymmetric ILLIQ Liquidity Analysis
Liquidity prediction for Monday, July 20th, 2026
1 Day
7,431.07
increased by 383.29
1 Week
6,289.49
decreased by 758.29
1 Month
6,554.78
decreased by 493.00
Analysis last updated: Friday, July 17, 2026 at 10:42 PM UTC
News Impact Curve
How returns affect tomorrow's liquidityLiquidity Forecast
How liquidity evolves over timeParameter Estimates
Jan 21, 2026 to Jul 17, 2026Model Insight
With persistence 0.999, illiquidity shocks have a half-life of 611 trading days (~2.4 years), close to a unit root, so long-run forecasts are highly sensitive to this estimate.
Asymmetry: Illiquidity rises 257% more after negative returns
μ
ILLIQ-AMEM Model
Tap to view equation
| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 5.0000 | 0.04 |
α ARCH Response to squared shocks | 0.0728 | 2.86*** |
β GARCH Volatility persistence | 0.8324 | 59.07*** |
γ leverage Additional response to negative shocks | 0.1872 | 2.63*** |
Persistence:
0.999
Half-life:
611 days
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