Sandon Capital Investments Ltd 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 15th, 2026
1 Day
477,200.30
decreased by 23,715.80
1 Week
541,868.40
increased by 40,952.30
1 Month
890,039.66
increased by 389,123.56
Analysis last updated: Wednesday, July 15, 2026 at 06:10 PM UTC
News Impact Curve
How returns affect tomorrow's liquidityLiquidity Forecast
How liquidity evolves over timeParameter Estimates
Dec 23, 2013 to Jul 10, 2026Model Insight
Estimated persistence of 1.000 is at or above 1 (non-stationary): illiquidity shocks do not decay and the long-run level is undefined, so long-horizon forecasts should be treated with caution.
μ
ILLIQ-AMEM Model
Tap to view equation
| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 5.0000 | 0.00 |
α ARCH Response to squared shocks | 0.1257 | 0.76 |
β GARCH Volatility persistence | 0.9252 | 28.93*** |
γ leverage Additional response to negative shocks | -0.1017 | -0.61 |
Persistence:
1.000
Half-life:
-
Other Sandon Capital Investments Ltd Analyses
Other Asymmetric ILLIQ Analyses on Closed-end Funds