V-Lab
Turkiye Sise ve Cam Fabrikalari AS Asymmetric ILLIQ Liquidity Analysis
Illiquidity prediction for Monday, July 27th, 2026
1 Day
384.37
decreased by 0.06
1 Week
384.46
increased by 0.03
1 Month
384.43
increased by 0.00
Analysis last updated: Sunday, July 26, 2026 at 05:18 AM UTC
News Impact Curve
How returns affect tomorrow's illiquidityIlliquidity Forecast
How illiquidity evolves over timeParameter Estimates
Jan 11, 1994 to Jul 24, 2026Model Insight
With persistence 0.999, illiquidity shocks have a half-life of 525 trading days (~2.1 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 | 0.69 |
α ARCH Response to squared shocks | 0.0139 | 0.50 |
β GARCH Volatility persistence | 0.9868 | 121.31*** |
γ leverage Additional response to negative shocks | -0.0039 | -0.12 |
Persistence:
0.999
Half-life:
525 days
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