V-Lab
MCR SA 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 25th, 2026
1 Day
564,165.30
increased by 409.50
1 Week
571,461.56
increased by 7,705.76
1 Month
564,370.54
increased by 614.74
Analysis last updated: Tuesday, August 25, 2026 at 07:59 PM UTC
News Impact Curve
How returns affect tomorrow's illiquidityIlliquidity Forecast
How illiquidity evolves over timeParameter Estimates
Jul 30, 2007 to Aug 21, 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.
μ
ILLIQ-AMEM Model
Tap to view equation
| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 5.0000 | 0.00 |
α ARCH Response to squared shocks | 0.0885 | 1.87* |
β GARCH Volatility persistence | 0.9373 | 79.49*** |
γ leverage Additional response to negative shocks | -0.0516 | -1.39 |
Persistence:
1.000
Half-life:
-
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