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
News Impact Curve
How returns affect tomorrow's liquidityLiquidity Forecast
How liquidity evolves over timeParameter Estimates
Aug 15, 2022 to Jul 16, 2026Model 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
| Parameter | Value | t-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
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