Caixa Rio Bravo Fundo de Fundos de Investimento Imobiliario 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 Monday, July 20th, 2026
1 Day
3,200,879.00
decreased by 140,916.00
1 Week
3,303,638.40
decreased by 38,156.60
1 Month
2,266,669.45
decreased by 1,075,125.55
Analysis last updated: Sunday, July 19, 2026 at 04:46 AM UTC
News Impact Curve
How returns affect tomorrow's liquidityLiquidity Forecast
How liquidity evolves over timeParameter Estimates
Apr 9, 2014 to Jul 17, 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.
μ
ILLIQ-AMEM Model
Tap to view equation
| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 5.0000 | 0.02 |
α ARCH Response to squared shocks | 0.0394 | 11.13*** |
β GARCH Volatility persistence | 0.9514 | 436.43*** |
γ leverage Additional response to negative shocks | 0.0183 | 1.78* |
Persistence:
1.000
Half-life:
1386294 days
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