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Dito Cme Holdings Corp Asymmetric ILLIQ Liquidity Analysis

Liquidity prediction for Wednesday, July 15th, 2026

1 Day

2,703.42

increased by 445.60

1 Week

2,457.94

increased by 200.12

1 Month

2,547.09

increased by 289.27

Analysis last updated: Wednesday, July 15, 2026 at 08:29 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

All

graph of Dito Cme Holdings Corp ILLIQ-AMEM

News Impact Curve

How returns affect tomorrow's liquidity

Liquidity Forecast

How liquidity evolves over time

Parameter Estimates

Nov 17, 2020 to Jul 10, 2026

Model Insight

With persistence 0.995, illiquidity shocks have a half-life of 138 trading days (~0.5 years), close to a unit root, so long-run forecasts are highly sensitive to this estimate.

Asymmetry: Illiquidity rises 245% more after negative returns

μ

ILLIQ-AMEM Model

Tap to view equation

ParameterValuet-statistic
ω

const

Unconditional variance weight

1.3287
6.89***
α

ARCH

Response to squared shocks

0.0554
12.27***
β

GARCH

Volatility persistence

0.8717
279.21***
γ

leverage

Additional response to negative shocks

0.1358
19.16***

Persistence:

0.995

Half-life:

138 days