V-Lab
Reach Subsea Asa Asymmetric ILLIQ Liquidity Analysis
High-persistence model: shocks decay very slowly, so the theoretical long-run value may not be practically meaningful
Illiquidity prediction for Monday, July 27th, 2026
1 Day
18,962.57
decreased by 366.60
1 Week
19,552.38
increased by 223.21
1 Month
19,792.58
increased by 463.41
Analysis last updated: Sunday, July 26, 2026 at 04:36 AM UTC
News Impact Curve
How returns affect tomorrow's illiquidityIlliquidity Forecast
How illiquidity evolves over timeParameter Estimates
Oct 5, 1992 to Jul 24, 2026Model 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.
μ
ILLIQ-AMEM Model
Tap to view equation
| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 5.0000 | 0.04 |
α ARCH Response to squared shocks | 0.0016 | 0.91 |
β GARCH Volatility persistence | 0.9786 | 508.62*** |
γ leverage Additional response to negative shocks | 0.0395 | 1.69* |
Persistence:
1.000
Half-life:
-
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