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SAN Miguel Corp Asymmetric ILLIQ Liquidity Analysis

Liquidity prediction for Tuesday, July 21st, 2026

1 Day

2,365.78

decreased by 135.06

1 Week

2,602.65

increased by 101.81

1 Month

2,895.38

increased by 394.54

Analysis last updated: Tuesday, July 21, 2026 at 07:36 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

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graph of SAN Miguel Corp ILLIQ-AMEM

News Impact Curve

How returns affect tomorrow's liquidity

Liquidity Forecast

How liquidity evolves over time

Parameter Estimates

Jun 24, 1994 to Jul 17, 2026

Model Insight

With persistence 0.998, illiquidity shocks have a half-life of 454 trading days (~1.8 years), close to a unit root, so long-run forecasts are highly sensitive to this estimate.

Asymmetry: Illiquidity rises 174% more after negative returns

μ

ILLIQ-AMEM Model

Tap to view equation

ParameterValuet-statistic
ω

const

Unconditional variance weight

2.2080
3.94***
α

ARCH

Response to squared shocks

0.0285
8.48***
β

GARCH

Volatility persistence

0.9451
487.17***
γ

leverage

Additional response to negative shocks

0.0497
9.42***

Persistence:

0.998

Half-life:

454 days