Skip to main content
V-Lab

Ellington Credit Co 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 Tuesday, April 1st, 2025

1 Day

3,206.68

increased by 59.35

1 Week

2,768.21

decreased by 379.12

1 Month

2,147.05

decreased by 1,000.28

Analysis last updated: Monday, March 31, 2025 at 09:33 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

All

graph of Ellington Credit Co ILLIQ-AMEM

News Impact Curve

How returns affect tomorrow's liquidity

Liquidity Forecast

How liquidity evolves over time

Parameter Estimates

May 1, 2013 to Mar 28, 2025

Model Insight

Estimated persistence of 1.000 is at or above 1 (non-stationary): illiquidity shocks do not decay and the long-run level is undefined, so long-horizon forecasts should be treated with caution.

Asymmetry: Illiquidity rises 65% more after negative returns

μ

ILLIQ-AMEM Model

Tap to view equation

ParameterValuet-statistic
ω

const

Unconditional variance weight

5.0000
0.67
α

ARCH

Response to squared shocks

0.0964
26.92***
β

GARCH

Volatility persistence

0.8721
391.07***
γ

leverage

Additional response to negative shocks

0.0630
9.06***

Persistence:

1.000

Half-life:

-