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
News Impact Curve
How returns affect tomorrow's liquidityLiquidity Forecast
How liquidity evolves over timeParameter Estimates
Jun 24, 1994 to Jul 17, 2026Model 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
| Parameter | Value | t-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
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