V-Lab
ICADE Asymmetric ILLIQ Liquidity Analysis
High-persistence model: shocks decay very slowly, so the theoretical long-run value may not be practically meaningful
Illiquidity prediction for Tuesday, August 11th, 2026
1 Day
4,184.86
1 Week
4,262.57
1 Month
4,470.33
Analysis last updated: Tuesday, August 11, 2026 at 06:47 PM UTC
News Impact Curve
How returns affect tomorrow's illiquidityIlliquidity Forecast
How illiquidity evolves over timeParameter Estimates
Jul 5, 1991 to Aug 7, 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.
Asymmetry: Illiquidity rises 68% more after negative returns
ILLIQ-AMEM Model
Tap to view equation
| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 5.0000 | 2.92*** |
α ARCH Response to squared shocks | 0.0631 | 20.57*** |
β GARCH Volatility persistence | 0.9155 | 378.48*** |
γ leverage Additional response to negative shocks | 0.0426 | 5.44*** |
Persistence:
1.000
Half-life:
-
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