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
News Impact Curve
How returns affect tomorrow's liquidityLiquidity Forecast
How liquidity evolves over timeParameter Estimates
Jul 12, 2000 to Jul 17, 2026Model 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
| Parameter | Value | t-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
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