Pan Asia Bkg 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 Wednesday, July 8th, 2026
1 Day
8,236.17
increased by 6,353.41
1 Week
3,383.33
increased by 1,500.57
1 Month
2,505.86
increased by 623.10
Analysis last updated: Wednesday, July 8, 2026 at 11:10 PM UTC
News Impact Curve
How returns affect tomorrow's liquidityLiquidity Forecast
How liquidity evolves over timeParameter Estimates
Sep 28, 2009 to Jul 3, 2026Model Insight
With persistence 1.000, illiquidity shocks have a half-life of 1386294 trading days (~5501.2 years), close to a unit root, so long-run forecasts are highly sensitive to this estimate.
μ
ILLIQ-AMEM Model
Tap to view equation
| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 5.0000 | 2.68*** |
α ARCH Response to squared shocks | 0.1071 | 4.48*** |
β GARCH Volatility persistence | 0.8666 | 135.04*** |
γ leverage Additional response to negative shocks | 0.0527 | 1.29 |
Persistence:
1.000
Half-life:
1386294 days
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