V-Lab
Excelsior Capital Ltd Asymmetric ILLIQ Liquidity Analysis
High-persistence model: shocks decay very slowly, so the theoretical long-run value may not be practically meaningful
Illiquidity prediction for Thursday, August 20th, 2026
1 Day
12,992,400.00
decreased by 381,010.00
1 Week
13,709,724.00
increased by 336,314.00
1 Month
13,821,044.44
increased by 447,634.44
Analysis last updated: Thursday, August 20, 2026 at 05:51 PM UTC
News Impact Curve
How returns affect tomorrow's illiquidityIlliquidity Forecast
How illiquidity evolves over timeParameter Estimates
Jan 3, 1996 to Aug 14, 2026Model 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.
μ
ILLIQ-AMEM Model
Tap to view equation
| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 5.0000 | 0.00 |
α ARCH Response to squared shocks | 0.0149 | 3.09*** |
β GARCH Volatility persistence | 0.9711 | 197.62*** |
γ leverage Additional response to negative shocks | 0.0280 | 1.60 |
Persistence:
1.000
Half-life:
-
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