Cloudflare Inc Asymmetric ILLIQ Liquidity Analysis
Illiquidity prediction for Tuesday, November 3rd, 2026
1 Day
47.13
increased by 3.50
1 Week
39.97
decreased by 3.66
1 Month
35.78
decreased by 7.85
Analysis last updated: Monday, November 2, 2026 at 10:35 PM UTC
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News Impact Curve
How returns affect tomorrow's illiquidityIlliquidity Forecast
How illiquidity evolves over timeParameter Estimates
Sep 13, 2019 to Oct 30, 2026Model Insight
With persistence 0.993, illiquidity shocks have a half-life of 95 trading days (~0.4 years), close to a unit root, so long-run forecasts are highly sensitive to this estimate.
Asymmetry: illiquidity responds almost entirely to negative returns
μ
ILLIQ-AMEM Model
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High persistence: persistence 0.993, shock half-life ~95 daysAsymmetry: illiquidity responds almost entirely to negative returns
| Param | Value | t-stat |
|---|---|---|
| ωconst | 0.6387 | 1.92* |
| αARCH | 0.0216 | 1.62 |
| βGARCH | 0.9231 | 101.92*** |
| γleverage | 0.0961 | 3.37*** |
0.993
Persistence95d
Half-lifeμ
ILLIQ-AMEM Model
Tap to view equation
| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 0.6387 | 1.92* |
α ARCH Response to squared shocks | 0.0216 | 1.62 |
β GARCH Volatility persistence | 0.9231 | 101.92*** |
γ leverage Additional response to negative shocks | 0.0961 | 3.37*** |
Persistence:
0.993
Half-life:
95 days
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