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Walt Disney Co/The Asymmetric ILLIQ Liquidity Analysis

Illiquidity prediction for Tuesday, September 8th, 2026

1 Day

15.61

increased by 1.29

1 Week

14.61

increased by 0.29

1 Month

13.40

decreased by 0.92

Analysis last updated: Friday, September 4, 2026 at 10:46 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

All

graph of Walt Disney Co/The ILLIQ-AMEM

News Impact Curve

How returns affect tomorrow's illiquidity

Illiquidity Forecast

How illiquidity evolves over time

Parameter Estimates

Jan 2, 1990 to Sep 4, 2026

Model Insight

With persistence 1.000, illiquidity shocks have a half-life of 1627 trading days (~6.5 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 ~1627 daysAsymmetry: Illiquidity rises 232% more after negative returns
ParamValuet-stat
ωconst0.0249
1.13
αARCH0.0206
4.99***
βGARCH0.9551
303.20***
γleverage0.0478
6.58***

1.000

Persistence

1627d

Half-life
μ

ILLIQ-AMEM Model

Tap to view equation

ParameterValuet-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
303.20***
γ

leverage

Additional response to negative shocks

0.0478
6.58***

Persistence:

1.000

Half-life:

1627 days