CBL & Associates Properties Inc Asymmetric ILLIQ Liquidity Analysis
Liquidity prediction for Monday, July 20th, 2026
1 Day
1,130.06
decreased by 33.90
1 Week
1,197.39
increased by 33.43
1 Month
1,202.88
increased by 38.92
Analysis last updated: Friday, July 17, 2026 at 10:44 PM UTC
News Impact Curve
How returns affect tomorrow's liquidityLiquidity Forecast
How liquidity evolves over timeParameter Estimates
Nov 2, 2021 to Jul 17, 2026Model Insight
With persistence 0.998, illiquidity shocks have a half-life of 354 trading days (~1.4 years), close to a unit root, so long-run forecasts are highly sensitive to this estimate.
Asymmetry: illiquidity responds almost entirely to negative returns
μ
ILLIQ-AMEM Model
Tap to view equation
| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 5.0000 | 1.19 |
α ARCH Response to squared shocks | 0.0110 | 4.05*** |
β GARCH Volatility persistence | 0.9546 | 440.73*** |
γ leverage Additional response to negative shocks | 0.0649 | 12.68*** |
Persistence:
0.998
Half-life:
354 days
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