V-Lab
Intel Corp 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, September 22nd, 2026
1 Day
3.40
1 Week
3.51
1 Month
3.50
Analysis last updated: Monday, September 21, 2026 at 09:25 PM UTC
News Impact Curve
How returns affect tomorrow's illiquidityIlliquidity Forecast
How illiquidity evolves over timeParameter Estimates
Jan 2, 1990 to Sep 18, 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 108% more after negative returns
ILLIQ-AMEM Model
Tap to view equation
| Param | Value | t-stat |
|---|---|---|
| ωconst | 0.0422 | 1.93* |
| αARCH | 0.0474 | 3.96*** |
| βGARCH | 0.9270 | 82.96*** |
| γleverage | 0.0513 | 3.96*** |
1.000
Persistence-
Half-lifeILLIQ-AMEM Model
Tap to view equation
| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 0.0422 | 1.93* |
α ARCH Response to squared shocks | 0.0474 | 3.96*** |
β GARCH Volatility persistence | 0.9270 | 82.96*** |
γ leverage Additional response to negative shocks | 0.0513 | 3.96*** |
Persistence:
1.000
Half-life:
-
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