Hedge Logistica Fundo de Investimento Imobiliario 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 Monday, July 20th, 2026
1 Day
251,249.70
decreased by 14,100.10
1 Week
276,600.54
increased by 11,250.74
1 Month
251,464.28
decreased by 13,885.52
Analysis last updated: Sunday, July 19, 2026 at 05:02 AM UTC
News Impact Curve
How returns affect tomorrow's liquidityLiquidity Forecast
How liquidity evolves over timeParameter Estimates
May 5, 2020 to Jul 17, 2026Model Insight
Estimated persistence of 1.000 is at or above 1 (non-stationary): illiquidity shocks do not decay and the long-run level is undefined, so long-horizon forecasts should be treated with caution.
μ
ILLIQ-AMEM Model
Tap to view equation
| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 5.0000 | 0.03 |
α ARCH Response to squared shocks | 0.0000 | 0.00 |
β GARCH Volatility persistence | 0.9318 | 219.36*** |
γ leverage Additional response to negative shocks | 0.1363 | 6.95*** |
Persistence:
1.000
Half-life:
-
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