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Managem SA 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 Wednesday, July 22nd, 2026

1 Day

4,603.24

increased by 2,118.18

1 Week

3,051.11

increased by 566.05

1 Month

2,309.39

decreased by 175.67

Analysis last updated: Wednesday, July 22, 2026 at 08:07 PM UTC

Date Range:

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to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

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graph of Managem SA ILLIQ-AMEM

News Impact Curve

How returns affect tomorrow's liquidity

Liquidity Forecast

How liquidity evolves over time

Parameter Estimates

Jul 12, 2000 to Jul 17, 2026

Model Insight

With persistence 1.000, illiquidity shocks have a half-life of 693147 trading days (~2750.6 years), close to a unit root, so long-run forecasts are highly sensitive to this estimate.

μ

ILLIQ-AMEM Model

Tap to view equation

ParameterValuet-statistic
ω

const

Unconditional variance weight

5.0000
0.73
α

ARCH

Response to squared shocks

0.0516
12.84***
β

GARCH

Volatility persistence

0.9435
441.49***
γ

leverage

Additional response to negative shocks

0.0099
1.23

Persistence:

1.000

Half-life:

693147 days