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
1 Week
12,052.16
1 Month
12,829.69
Analysis last updated: Wednesday, July 15, 2026 at 06:05 PM UTC
News Impact Curve
How returns affect tomorrow's liquidityLiquidity Forecast
How liquidity evolves over timeParameter Estimates
Jun 29, 1994 to Jul 10, 2026Model 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
ILLIQ-AMEM Model
Tap to view equation
| Parameter | Value | t-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
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