Klepierre 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
453.32
1 Week
451.46
1 Month
409.85
Analysis last updated: Saturday, July 18, 2026 at 10:26 PM UTC
News Impact Curve
How returns affect tomorrow's liquidityLiquidity Forecast
How liquidity evolves over timeParameter Estimates
Jun 28, 1991 to Jul 17, 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 37% more after negative returns
ILLIQ-AMEM Model
Tap to view equation
| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 0.4914 | 2.15** |
α ARCH Response to squared shocks | 0.0333 | 15.71*** |
β GARCH Volatility persistence | 0.9605 | 770.89*** |
γ leverage Additional response to negative shocks | 0.0124 | 4.34*** |
Persistence:
1.000
Half-life:
-
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