Net Insight AB Asymmetric ILLIQ Liquidity Analysis
Liquidity prediction for Wednesday, July 8th, 2026
1 Day
13,695.00
increased by 2,570.18
1 Week
11,260.96
increased by 136.14
1 Month
11,351.48
increased by 226.66
Analysis last updated: Wednesday, July 8, 2026 at 10:59 PM UTC
News Impact Curve
How returns affect tomorrow's liquidityLiquidity Forecast
How liquidity evolves over timeParameter Estimates
Jun 7, 1999 to Jul 3, 2026Model Insight
With persistence 0.998, illiquidity shocks have a half-life of 428 trading days (~1.7 years), close to a unit root, so long-run forecasts are highly sensitive to this estimate.
Asymmetry: Illiquidity rises 197% more after negative returns
μ
ILLIQ-AMEM Model
Tap to view equation
| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 5.0000 | 1.28 |
α ARCH Response to squared shocks | 0.0501 | 19.41*** |
β GARCH Volatility persistence | 0.8991 | 582.32*** |
γ leverage Additional response to negative shocks | 0.0985 | 15.19*** |
Persistence:
0.998
Half-life:
428 days
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