NICO Holdings Ltd Asymmetric ILLIQ Liquidity Analysis
Illiquidity prediction for Tuesday, October 13th, 2026
1 Day
2,083.02
decreased by 4.30
1 Week
2,089.49
increased by 2.17
1 Month
2,124.91
increased by 37.59
Analysis last updated: Tuesday, October 13, 2026 at 10:02 PM UTC
Press Delete or Backspace to remove this series.
News Impact Curve
How returns affect tomorrow's illiquidityIlliquidity Forecast
How illiquidity evolves over timeParameter Estimates
Nov 5, 2015 to Oct 9, 2026Model Insight
With persistence 0.996, illiquidity shocks have a half-life of 165 trading days (~0.7 years), close to a unit root, so long-run forecasts are highly sensitive to this estimate.
μ
ILLIQ-AMEM Model
Tap to view equation
High persistence: persistence 0.996, shock half-life ~165 days
| Param | Value | t-stat |
|---|---|---|
| ωconst | 4.4552 | 0.00 |
| αARCH | 0.0000 | 0.00 |
| βGARCH | 0.9958 | 0.04 |
| γleverage | 0.0000 | 0.00 |
0.996
Persistence165d
Half-lifeμ
ILLIQ-AMEM Model
Tap to view equation
| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 4.4552 | 0.00 |
α ARCH Response to squared shocks | 0.0000 | 0.00 |
β GARCH Volatility persistence | 0.9958 | 0.04 |
γ leverage Additional response to negative shocks | 0.0000 | 0.00 |
Persistence:
0.996
Half-life:
165 days
Other NICO Holdings Ltd Analyses
Other Asymmetric ILLIQ Analyses on International Equities