Southern Fertilizers JSC 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 8th, 2026
1 Day
2,625.59
increased by 287.73
1 Week
2,417.62
increased by 79.76
1 Month
2,255.96
decreased by 81.90
Analysis last updated: Wednesday, July 8, 2026 at 11:20 PM UTC
News Impact Curve
How returns affect tomorrow's liquidityLiquidity Forecast
How liquidity evolves over timeParameter Estimates
Dec 1, 2014 to Jun 26, 2026Model Insight
With persistence 1.000, illiquidity shocks have a half-life of 16906 trading days (~67.1 years), close to a unit root, so long-run forecasts are highly sensitive to this estimate.
μ
ILLIQ-AMEM Model
Tap to view equation
| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 5.0000 | 1.28 |
α ARCH Response to squared shocks | 0.0075 | 4.95*** |
β GARCH Volatility persistence | 0.9901 | 392.42*** |
γ leverage Additional response to negative shocks | 0.0048 | 0.76 |
Persistence:
1.000
Half-life:
16906 days
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