Masood Textile Mills Ltd 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
12,200.35
decreased by 398.06
1 Week
13,084.48
increased by 486.07
1 Month
17,083.32
increased by 4,484.91
Analysis last updated: Wednesday, July 22, 2026 at 08:08 PM UTC
News Impact Curve
How returns affect tomorrow's liquidityLiquidity Forecast
How liquidity evolves over timeParameter Estimates
Mar 29, 2005 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.
μ
ILLIQ-AMEM Model
Tap to view equation
| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 5.0000 | 0.06 |
α ARCH Response to squared shocks | 0.0588 | 9.95*** |
β GARCH Volatility persistence | 0.9557 | 358.09*** |
γ leverage Additional response to negative shocks | -0.0291 | -4.15*** |
Persistence:
1.000
Half-life:
-
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