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L1 Global Long Short Fund 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

11,348.86

decreased by 822.69

1 Week

12,052.16

decreased by 119.39

1 Month

12,829.69

increased by 658.14

Analysis last updated: Wednesday, July 15, 2026 at 06:05 PM UTC

Date Range:

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to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

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graph of L1 Global Long Short Fund Ltd ILLIQ-AMEM

News Impact Curve

How returns affect tomorrow's liquidity

Liquidity Forecast

How liquidity evolves over time

Parameter Estimates

Jun 29, 1994 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 17% more after negative returns

μ

ILLIQ-AMEM Model

Tap to view equation

ParameterValuet-statistic
ω

const

Unconditional variance weight

5.0000
0.35
α

ARCH

Response to squared shocks

0.0626
28.43***
β

GARCH

Volatility persistence

0.9320
736.76***
γ

leverage

Additional response to negative shocks

0.0108
2.64***

Persistence:

1.000

Half-life:

1386294 days