V-Lab
Alphabet Inc Asymmetric ILLIQ Liquidity Analysis
Illiquidity prediction for Tuesday, August 25th, 2026
1 Day
1.80
decreased by 0.05
1 Week
1.85
increased by 0.00
1 Month
1.95
increased by 0.10
Analysis last updated: Monday, August 24, 2026 at 09:24 PM UTC
News Impact Curve
How returns affect tomorrow's illiquidityIlliquidity Forecast
How illiquidity evolves over timeParameter Estimates
Aug 19, 2004 to Aug 21, 2026Model Insight
With persistence 0.999, illiquidity shocks have a half-life of 550 trading days (~2.2 years), close to a unit root, so long-run forecasts are highly sensitive to this estimate.
Asymmetry: illiquidity responds almost entirely to negative returns
μ
ILLIQ-AMEM Model
Tap to view equation
| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 0.0185 | 8.50*** |
α ARCH Response to squared shocks | 0.0151 | 10.59*** |
β GARCH Volatility persistence | 0.9502 | 857.57*** |
γ leverage Additional response to negative shocks | 0.0670 | 20.13*** |
Persistence:
0.999
Half-life:
550 days
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