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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

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

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graph of Pan Asia Bkg Corp ILLIQ-AMEM

News Impact Curve

How returns affect tomorrow's liquidity

Liquidity Forecast

How liquidity evolves over time

Parameter Estimates

Sep 28, 2009 to Jul 3, 2026

Model 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

ParameterValuet-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