Fomento Economico Mexicano SAB de CV 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, October 29th, 2026
1 Day
157,680.40
1 Week
159,261.95
1 Month
171,254.02
Analysis last updated: Thursday, October 29, 2026 at 11:54 PM UTC
News Impact Curve
How returns affect tomorrow's illiquidityIlliquidity Forecast
How illiquidity evolves over timeParameter Estimates
Jun 2, 1998 to Oct 28, 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.
ILLIQ-AMEM Model
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| Param | Value | t-stat |
|---|---|---|
| ωconst | 5.0000 | 0.00 |
| αARCH | 0.0290 | 1.16 |
| βGARCH | 0.9757 | 58.52*** |
| γleverage | -0.0093 | -0.38 |
1.000
Persistence-
Half-lifeILLIQ-AMEM Model
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| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 5.0000 | 0.00 |
α ARCH Response to squared shocks | 0.0290 | 1.16 |
β GARCH Volatility persistence | 0.9757 | 58.52*** |
γ leverage Additional response to negative shocks | -0.0093 | -0.38 |
Persistence:
1.000
Half-life:
-
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