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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

decreased by 200,090.00

1 Week

10,588,400.00

decreased by 200,090.00

1 Month

10,688,445.00

decreased by 100,045.00

Analysis last updated: Tuesday, July 7, 2026 at 08:26 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

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graph of CEPS PLC ILLIQ-AMEM

News Impact Curve

How returns affect tomorrow's liquidity

Liquidity Forecast

How liquidity evolves over time

Parameter Estimates

Jan 8, 2007 to Jun 5, 2026

Model 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

μ

ILLIQ-AMEM Model

Tap to view equation

ParameterValuet-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