IBEX Holdings 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 Monday, July 20th, 2026
1 Day
4,782.23
1 Week
4,979.14
1 Month
4,413.57
Analysis last updated: Friday, July 17, 2026 at 09:28 PM UTC
News Impact Curve
How returns affect tomorrow's liquidityLiquidity Forecast
How liquidity evolves over timeParameter Estimates
Aug 7, 2020 to Jul 17, 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 42% more after negative returns
ILLIQ-AMEM Model
Tap to view equation
| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 5.0000 | 0.79 |
α ARCH Response to squared shocks | 0.0649 | 13.82*** |
β GARCH Volatility persistence | 0.9213 | 381.18*** |
γ leverage Additional response to negative shocks | 0.0275 | 3.63*** |
Persistence:
1.000
Half-life:
1386294 days
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