Datagroup Se 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 Wednesday, May 27th, 2026
1 Day
550,857.90
decreased by 24,779.60
1 Week
577,903.68
increased by 2,266.18
1 Month
540,929.99
decreased by 34,707.51
Analysis last updated: Wednesday, May 27, 2026 at 08:43 PM UTC
News Impact Curve
How returns affect tomorrow's liquidityLiquidity Forecast
How liquidity evolves over timeParameter Estimates
| param | t-stat | |
|---|---|---|
| 5.0000 | 0.04 | |
| 0.0700 | 6.16 | |
| 0.9556 | 266.55 | |
| -0.0512 | -4.88 |
Estimation Period:
Sep 14, 2006 to May 22, 2026
Sep 14, 2006 to May 22, 2026
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