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Gujarat Apollo Ind Ltd 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 Wednesday, July 15th, 2026

1 Day

10,172.16

increased by 6,614.75

1 Week

5,299.58

increased by 1,742.17

1 Month

4,772.41

increased by 1,215.00

Analysis last updated: Wednesday, July 15, 2026 at 07:19 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

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graph of Gujarat Apollo Ind Ltd ILLIQ-AMEM

News Impact Curve

How returns affect tomorrow's liquidity

Liquidity Forecast

How liquidity evolves over time

Parameter Estimates

Oct 15, 2007 to Jul 10, 2026

Model Insight

With persistence 1.000, illiquidity shocks have a half-life of 1386294 trading days (~5501.2 years), close to a unit root, so long-run forecasts are highly sensitive to this estimate.

Asymmetry: Illiquidity rises 114% more after negative returns

μ

ILLIQ-AMEM Model

Tap to view equation

ParameterValuet-statistic
ω

const

Unconditional variance weight

5.0000
0.55
α

ARCH

Response to squared shocks

0.0958
18.37***
β

GARCH

Volatility persistence

0.8494
291.10***
γ

leverage

Additional response to negative shocks

0.1096
10.19***

Persistence:

1.000

Half-life:

1386294 days