Maskapai Reasuransi 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 Tuesday, June 30th, 2026
1 Day
3,769.78
increased by 3,159.90
1 Week
1,168.29
increased by 558.41
1 Month
627.97
increased by 18.09
Analysis last updated: Tuesday, June 30, 2026 at 08:25 PM UTC
News Impact Curve
How returns affect tomorrow's liquidityLiquidity Forecast
How liquidity evolves over timeParameter Estimates
Dec 27, 1995 to Jun 26, 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 | 3.84*** |
α ARCH Response to squared shocks | 0.0661 | 14.58*** |
β GARCH Volatility persistence | 0.9428 | 473.54*** |
γ leverage Additional response to negative shocks | -0.0178 | -3.04*** |
Persistence:
1.000
Half-life:
-
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