V-Lab
SAN Miguel Corp Asymmetric ILLIQ Liquidity Analysis
Illiquidity prediction for Monday, July 27th, 2026
1 Day
1,945.33
decreased by 109.40
1 Week
2,149.28
increased by 94.55
1 Month
2,741.80
increased by 687.07
Analysis last updated: Sunday, July 26, 2026 at 05:03 AM UTC
News Impact Curve
How returns affect tomorrow's illiquidityIlliquidity Forecast
How illiquidity evolves over timeParameter Estimates
Jun 24, 1994 to Jul 24, 2026Model Insight
With persistence 0.998, illiquidity shocks have a half-life of 436 trading days (~1.7 years), close to a unit root, so long-run forecasts are highly sensitive to this estimate.
Asymmetry: Illiquidity rises 173% more after negative returns
μ
ILLIQ-AMEM Model
Tap to view equation
| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 2.2360 | 3.96*** |
α ARCH Response to squared shocks | 0.0286 | 8.49*** |
β GARCH Volatility persistence | 0.9450 | 486.86*** |
γ leverage Additional response to negative shocks | 0.0496 | 9.37*** |
Persistence:
0.998
Half-life:
436 days
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