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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

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

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graph of Gulf Insurance Group ILLIQ-AMEM

News Impact Curve

How returns affect tomorrow's liquidity

Liquidity Forecast

How liquidity evolves over time

Parameter Estimates

Jul 27, 2009 to Jul 2, 2026

Model 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

ParameterValuet-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