AT&T Inc Asymmetric ILLIQ Liquidity Analysis
Liquidity prediction for Tuesday, July 21st, 2026
1 Day
12.36
decreased by 0.41
1 Week
12.96
increased by 0.19
1 Month
14.40
increased by 1.63
Analysis last updated: Monday, July 20, 2026 at 09:52 PM UTC
News Impact Curve
How returns affect tomorrow's liquidityLiquidity Forecast
How liquidity evolves over timeParameter Estimates
Jan 2, 1990 to Jul 17, 2026Model Insight
With persistence 0.999, illiquidity shocks have a half-life of 996 trading days (~4.0 years), close to a unit root, so long-run forecasts are highly sensitive to this estimate.
Asymmetry: Illiquidity rises 79% more after negative returns
μ
ILLIQ-AMEM Model
Tap to view equation
| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 0.0364 | 6.88*** |
α ARCH Response to squared shocks | 0.0309 | 25.36*** |
β GARCH Volatility persistence | 0.9562 | 1,127.54*** |
γ leverage Additional response to negative shocks | 0.0245 | 13.13*** |
Persistence:
0.999
Half-life:
996 days
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