Gulf Insurance Group Asymmetric ILLIQ Liquidity Analysis
Liquidity prediction for Thursday, July 9th, 2026
1 Day
5,753.43
increased by 2,807.45
1 Week
3,301.10
increased by 355.12
1 Month
2,245.95
decreased by 700.03
Analysis last updated: Thursday, July 9, 2026 at 08:09 PM UTC
News Impact Curve
How returns affect tomorrow's liquidityLiquidity Forecast
How liquidity evolves over timeParameter Estimates
Jul 27, 2009 to Jul 2, 2026Model Insight
With persistence 0.992, illiquidity shocks have a half-life of 91 trading days (~0.4 years), close to a unit root, so long-run forecasts are highly sensitive to this estimate.
μ
ILLIQ-AMEM Model
Tap to view equation
| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 5.0000 | 3.42*** |
α ARCH Response to squared shocks | 0.0000 | 0.00 |
β GARCH Volatility persistence | 0.9395 | 217.06*** |
γ leverage Additional response to negative shocks | 0.1058 | 13.29*** |
Persistence:
0.992
Half-life:
91 days
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