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Naqi Water Company Asymmetric ILLIQ Liquidity Analysis

Liquidity prediction for Tuesday, July 21st, 2026

1 Day

6,469.01

decreased by 741.82

1 Week

6,607.55

decreased by 603.28

1 Month

4,743.60

decreased by 2,467.23

Analysis last updated: Tuesday, July 21, 2026 at 07:50 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

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graph of Naqi Water Company ILLIQ-AMEM

News Impact Curve

How returns affect tomorrow's liquidity

Liquidity Forecast

How liquidity evolves over time

Parameter Estimates

Aug 15, 2022 to Jul 16, 2026

Model Insight

With persistence 0.995, illiquidity shocks have a half-life of 150 trading days (~0.6 years), close to a unit root, so long-run forecasts are highly sensitive to this estimate.

Asymmetry: Illiquidity rises 214% more after negative returns

μ

ILLIQ-AMEM Model

Tap to view equation

ParameterValuet-statistic
ω

const

Unconditional variance weight

5.0000
2.00**
α

ARCH

Response to squared shocks

0.0640
5.29***
β

GARCH

Volatility persistence

0.8629
167.65***
γ

leverage

Additional response to negative shocks

0.1371
7.70***

Persistence:

0.995

Half-life:

150 days