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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

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

All

graph of Net Insight AB ILLIQ-AMEM

News Impact Curve

How returns affect tomorrow's liquidity

Liquidity Forecast

How liquidity evolves over time

Parameter Estimates

Jun 7, 1999 to Jul 3, 2026

Model 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

ParameterValuet-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