V-Lab
ESR-REIT 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 Tuesday, August 11th, 2026
1 Day
4,809.50
decreased by 11.82
1 Week
5,019.62
increased by 198.30
1 Month
5,460.92
increased by 639.60
Analysis last updated: Sunday, August 9, 2026 at 12:55 AM UTC
News Impact Curve
How returns affect tomorrow's illiquidityIlliquidity Forecast
How illiquidity evolves over timeParameter Estimates
Oct 4, 2006 to Aug 7, 2026Illiquid 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
| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 5.0000 | 1.26 |
α ARCH Response to squared shocks | 0.0615 | 13.57*** |
β GARCH Volatility persistence | 0.9366 | 442.82*** |
γ leverage Additional response to negative shocks | 0.0038 | 0.75 |
Persistence:
1.000
Half-life:
-
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