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ESR-REIT 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 Monday, July 20th, 2026

1 Day

5,465.10

decreased by 149.18

1 Week

5,454.26

decreased by 160.02

1 Month

4,769.09

decreased by 845.19

Analysis last updated: Sunday, July 19, 2026 at 02:45 AM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

All

graph of ESR-REIT ILLIQ-AMEM

News Impact Curve

How returns affect tomorrow's liquidity

Liquidity Forecast

How liquidity evolves over time

Parameter Estimates

Oct 4, 2006 to Jul 17, 2026
Illiquid Asset

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.

μ

ILLIQ-AMEM Model

Tap to view equation

ParameterValuet-statistic
ω

const

Unconditional variance weight

5.0000
1.26
α

ARCH

Response to squared shocks

0.0617
13.55***
β

GARCH

Volatility persistence

0.9365
441.13***
γ

leverage

Additional response to negative shocks

0.0036
0.70

Persistence:

1.000

Half-life:

-