V-Lab
Walt Disney Co/The Asymmetric ILLIQ Liquidity Analysis
Illiquidity prediction for Tuesday, September 22nd, 2026
1 Day
15.29
decreased by 0.24
1 Week
15.20
decreased by 0.33
1 Month
14.43
decreased by 1.10
Analysis last updated: Monday, September 21, 2026 at 09:40 PM UTC
News Impact Curve
How returns affect tomorrow's illiquidityIlliquidity Forecast
How illiquidity evolves over timeParameter Estimates
Jan 2, 1990 to Sep 18, 2026Model Insight
With persistence 1.000, illiquidity shocks have a half-life of 1617 trading days (~6.4 years), close to a unit root, so long-run forecasts are highly sensitive to this estimate.
Asymmetry: Illiquidity rises 232% more after negative returns
μ
ILLIQ-AMEM Model
Tap to view equation
High persistence: persistence 1.000, shock half-life ~1617 daysAsymmetry: Illiquidity rises 232% more after negative returns
| Param | Value | t-stat |
|---|---|---|
| ωconst | 0.0249 | 1.13 |
| αARCH | 0.0206 | 4.99*** |
| βGARCH | 0.9551 | 303.80*** |
| γleverage | 0.0477 | 6.58*** |
1.000
Persistence1617d
Half-lifeμ
ILLIQ-AMEM Model
Tap to view equation
| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 0.0249 | 1.13 |
α ARCH Response to squared shocks | 0.0206 | 4.99*** |
β GARCH Volatility persistence | 0.9551 | 303.80*** |
γ leverage Additional response to negative shocks | 0.0477 | 6.58*** |
Persistence:
1.000
Half-life:
1617 days
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