ICADE 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 Thursday, June 4th, 2026
1 Day
5,610.95
increased by 365.92
1 Week
5,536.22
increased by 291.19
1 Month
5,608.81
increased by 363.78
Analysis last updated: Thursday, June 4, 2026 at 06:19 PM UTC
News Impact Curve
How returns affect tomorrow's liquidityLiquidity Forecast
How liquidity evolves over timeParameter Estimates
| param | t-stat | |
|---|---|---|
| 5.0000 | 2.91 | |
| 0.0634 | 20.55 | |
| 0.9154 | 375.61 | |
| 0.0425 | 5.40 |
Estimation Period:
Jul 5, 1991 to May 29, 2026
Jul 5, 1991 to May 29, 2026
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