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Home Depot Inc/The Asymmetric ILLIQ Liquidity Analysis
Illiquidity prediction for Tuesday, September 22nd, 2026
1 Day
11.35
decreased by 0.10
1 Week
11.81
increased by 0.36
1 Month
12.08
increased by 0.63
Analysis last updated: Monday, September 21, 2026 at 09:43 PM UTC
News Impact Curve
How returns affect tomorrow's illiquidityIlliquidity Forecast
How illiquidity evolves over timeParameter Estimates
Jan 2, 1990 to Sep 18, 2026Model Insight
With persistence 0.999, illiquidity shocks have a half-life of 1351 trading days (~5.4 years), close to a unit root, so long-run forecasts are highly sensitive to this estimate.
Asymmetry: Illiquidity rises 162% more after negative returns
μ
ILLIQ-AMEM Model
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High persistence: persistence 0.999, shock half-life ~1351 daysAsymmetry: Illiquidity rises 162% more after negative returns
| Param | Value | t-stat |
|---|---|---|
| ωconst | 0.0450 | 2.16** |
| αARCH | 0.0266 | 5.85*** |
| βGARCH | 0.9514 | 282.47*** |
| γleverage | 0.0431 | 5.65*** |
0.999
Persistence1351d
Half-lifeμ
ILLIQ-AMEM Model
Tap to view equation
| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 0.0450 | 2.16** |
α ARCH Response to squared shocks | 0.0266 | 5.85*** |
β GARCH Volatility persistence | 0.9514 | 282.47*** |
γ leverage Additional response to negative shocks | 0.0431 | 5.65*** |
Persistence:
0.999
Half-life:
1351 days
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