V-Lab
Sfd Sa 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 24th, 2026
1 Day
1,115,768.00
decreased by 21,272.00
1 Week
1,143,023.80
increased by 5,983.80
1 Month
991,952.90
decreased by 145,087.10
Analysis last updated: Friday, July 24, 2026 at 08:04 PM UTC
News Impact Curve
How returns affect tomorrow's illiquidityIlliquidity Forecast
How illiquidity evolves over timeParameter Estimates
Feb 21, 2014 to Jul 17, 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 | 0.00 |
α ARCH Response to squared shocks | 0.0374 | 3.27*** |
β GARCH Volatility persistence | 0.9813 | 1,512.00*** |
γ leverage Additional response to negative shocks | -0.0374 | -2.53** |
Persistence:
1.000
Half-life:
-
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