CEPS PLC 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 Tuesday, July 7th, 2026
1 Day
10,588,400.00
1 Week
10,588,400.00
1 Month
10,688,445.00
Analysis last updated: Tuesday, July 7, 2026 at 08:26 PM UTC
News Impact Curve
How returns affect tomorrow's liquidityLiquidity Forecast
How liquidity evolves over timeParameter Estimates
Jan 8, 2007 to Jun 5, 2026Model Insight
With persistence 1.000, illiquidity shocks have a half-life of 693147 trading days (~2750.6 years), close to a unit root, so long-run forecasts are highly sensitive to this estimate.
Asymmetry: Illiquidity rises 141% more after negative returns
ILLIQ-AMEM Model
Tap to view equation
| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 5.0000 | 0.00 |
α ARCH Response to squared shocks | 0.0164 | 3.58*** |
β GARCH Volatility persistence | 0.9721 | 400.54*** |
γ leverage Additional response to negative shocks | 0.0230 | 3.91*** |
Persistence:
1.000
Half-life:
693147 days
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