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
News Impact Curve
How returns affect tomorrow's liquidityLiquidity Forecast
How liquidity evolves over timeParameter Estimates
Nov 17, 2020 to Jul 10, 2026Model 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
| Parameter | Value | t-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
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