V-Lab
Rama Phosphates Ltd 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 Friday, July 31st, 2026
1 Day
5,180.86
1 Week
4,912.83
1 Month
5,575.85
Analysis last updated: Friday, July 31, 2026 at 07:12 PM UTC
News Impact Curve
How returns affect tomorrow's illiquidityIlliquidity Forecast
How illiquidity evolves over timeParameter Estimates
Nov 8, 2010 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.
Asymmetry: illiquidity responds almost entirely to negative returns
ILLIQ-AMEM Model
Tap to view equation
| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 5.0000 | 0.11 |
α ARCH Response to squared shocks | 0.0121 | 3.39*** |
β GARCH Volatility persistence | 0.8687 | 72.84*** |
γ leverage Additional response to negative shocks | 0.2383 | 3.14*** |
Persistence:
1.000
Half-life:
-
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