Prothena Corp PLC Asymmetric ILLIQ Liquidity Analysis
Liquidity prediction for Monday, July 13th, 2026
1 Day
5,436.19
increased by 608.51
1 Week
4,997.52
increased by 169.84
1 Month
5,571.45
increased by 743.77
Analysis last updated: Friday, July 10, 2026 at 10:25 PM UTC
News Impact Curve
How returns affect tomorrow's liquidityLiquidity Forecast
How liquidity evolves over timeParameter Estimates
Dec 21, 2012 to Jul 10, 2026Model Insight
With persistence 0.999, illiquidity shocks have a half-life of 1232 trading days (~4.9 years), close to a unit root, so long-run forecasts are highly sensitive to this estimate.
Asymmetry: Illiquidity rises 77% more after negative returns
μ
ILLIQ-AMEM Model
Tap to view equation
| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 5.0000 | 3.21*** |
α ARCH Response to squared shocks | 0.0648 | 17.75*** |
β GARCH Volatility persistence | 0.9099 | 469.98*** |
γ leverage Additional response to negative shocks | 0.0496 | 8.65*** |
Persistence:
0.999
Half-life:
1232 days
Other Prothena Corp PLC Analyses
Other Asymmetric ILLIQ Analyses on Equities