V-Lab
Contact Financial Holding Asymmetric ILLIQ Liquidity Analysis
High-persistence model: shocks decay very slowly, so the theoretical long-run value may not be practically meaningful
Illiquidity prediction for Sunday, July 26th, 2026
1 Day
1,502.15
decreased by 36.15
1 Week
1,550.16
increased by 11.86
1 Month
1,798.35
increased by 260.05
Analysis last updated: Thursday, July 23, 2026 at 06:32 PM UTC
News Impact Curve
How returns affect tomorrow's illiquidityIlliquidity Forecast
How illiquidity evolves over timeParameter Estimates
Oct 15, 2018 to Jul 22, 2026Illiquid Asset
Model 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 | 0.58 |
α ARCH Response to squared shocks | 0.0301 | 5.42*** |
β GARCH Volatility persistence | 0.9702 | 455.69*** |
γ leverage Additional response to negative shocks | -0.0005 | -0.05 |
Persistence:
1.000
Half-life:
-
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