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Quanex Building Products Corp Asymmetric ILLIQ Liquidity Analysis

High-persistence model: shocks decay very slowly, so the theoretical long-run value may not be practically meaningful

Liquidity prediction for Friday, July 17th, 2026

1 Day

5,221.36

increased by 2.87

1 Week

5,323.24

increased by 104.75

1 Month

4,906.06

decreased by 312.43

Analysis last updated: Thursday, July 16, 2026 at 09:48 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

All

graph of Quanex Building Products Corp ILLIQ-AMEM

News Impact Curve

How returns affect tomorrow's liquidity

Liquidity Forecast

How liquidity evolves over time

Parameter Estimates

Jan 2, 1990 to Jul 10, 2026

Model Insight

Estimated persistence of 1.000 is at or above 1 (non-stationary): illiquidity shocks do not decay and the long-run level is undefined, so long-horizon forecasts should be treated with caution.

Asymmetry: Illiquidity rises 64% more after negative returns

μ

ILLIQ-AMEM Model

Tap to view equation

ParameterValuet-statistic
ω

const

Unconditional variance weight

5.0000
2.33**
α

ARCH

Response to squared shocks

0.0672
29.56***
β

GARCH

Volatility persistence

0.9114
479.70***
γ

leverage

Additional response to negative shocks

0.0428
12.38***

Persistence:

1.000

Half-life:

-