Sheetal Universal Limited 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
6,327.77
increased by 2,433.09
1 Week
4,683.78
increased by 789.10
1 Month
6,876.40
increased by 2,981.72
Analysis last updated: Wednesday, July 8, 2026 at 09:42 PM UTC
News Impact Curve
How returns affect tomorrow's liquidityLiquidity Forecast
How liquidity evolves over timeParameter Estimates
Dec 11, 2023 to Jul 3, 2026Model Insight
With persistence 1.000, illiquidity shocks have a half-life of 1386294 trading days (~5501.2 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 | 0.22 |
α ARCH Response to squared shocks | 0.0757 | 7.14*** |
β GARCH Volatility persistence | 0.9152 | 198.27*** |
γ leverage Additional response to negative shocks | 0.0181 | 0.86 |
Persistence:
1.000
Half-life:
1386294 days
Other Sheetal Universal Limited Analyses
Other Asymmetric ILLIQ Analyses on International Equities