Commercial Credit And Fin 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 Thursday, July 9th, 2026
1 Day
4,083.91
1 Week
4,124.84
1 Month
4,247.91
Analysis last updated: Thursday, July 9, 2026 at 08:15 PM UTC
News Impact Curve
How returns affect tomorrow's liquidityLiquidity Forecast
How liquidity evolves over timeParameter Estimates
Jun 3, 2011 to Jul 3, 2026Model Insight
With persistence 1.000, illiquidity shocks have a half-life of 1386294 trading days (~5501.2 years), close to a unit root, so long-run forecasts are highly sensitive to this estimate.
Asymmetry: illiquidity responds almost entirely to negative returns
ILLIQ-AMEM Model
Tap to view equation
| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 3.3935 | 1.11 |
α ARCH Response to squared shocks | 0.0141 | 7.16*** |
β GARCH Volatility persistence | 0.9400 | 575.60*** |
γ leverage Additional response to negative shocks | 0.0919 | 10.39*** |
Persistence:
1.000
Half-life:
1386294 days
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