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Saudi Arabian Coop Insurance 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 15th, 2026

1 Day

3,986.40

decreased by 675.77

1 Week

4,885.48

increased by 223.31

1 Month

5,569.80

increased by 907.63

Analysis last updated: Wednesday, July 15, 2026 at 08:35 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

All

graph of Saudi Arabian Coop Insurance ILLIQ-AMEM

News Impact Curve

How returns affect tomorrow's liquidity

Liquidity Forecast

How liquidity evolves over time

Parameter Estimates

Nov 12, 2007 to Jul 9, 2026

Model 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 rises 162% more after negative returns

μ

ILLIQ-AMEM Model

Tap to view equation

ParameterValuet-statistic
ω

const

Unconditional variance weight

5.0000
2.98***
α

ARCH

Response to squared shocks

0.0864
17.56***
β

GARCH

Volatility persistence

0.8434
309.61***
γ

leverage

Additional response to negative shocks

0.1404
11.05***

Persistence:

1.000

Half-life:

-