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Industrial Logistics Properties Trust 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

5,019.55

decreased by 83.89

1 Week

5,351.10

increased by 247.66

1 Month

5,583.76

increased by 480.32

Analysis last updated: Friday, July 17, 2026 at 10:04 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

All

graph of Industrial Logistics Properties Trust ILLIQ-AMEM

News Impact Curve

How returns affect tomorrow's liquidity

Liquidity Forecast

How liquidity evolves over time

Parameter Estimates

Jan 15, 2018 to Jul 17, 2026

Model 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 95% more after negative returns

μ

ILLIQ-AMEM Model

Tap to view equation

ParameterValuet-statistic
ω

const

Unconditional variance weight

5.0000
2.23**
α

ARCH

Response to squared shocks

0.0508
12.44***
β

GARCH

Volatility persistence

0.9253
402.29***
γ

leverage

Additional response to negative shocks

0.0480
7.85***

Persistence:

1.000

Half-life:

1386294 days