Taaleem Holdings Pjsc 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 Sunday, July 12th, 2026
1 Day
8,125.02
increased by 1,316.29
1 Week
7,109.50
increased by 300.77
1 Month
10,208.89
increased by 3,400.16
Analysis last updated: Friday, July 10, 2026 at 06:56 PM UTC
News Impact Curve
How returns affect tomorrow's liquidityLiquidity Forecast
How liquidity evolves over timeParameter Estimates
Nov 29, 2022 to Jul 9, 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 | 0.44 |
α ARCH Response to squared shocks | 0.1016 | 9.43*** |
β GARCH Volatility persistence | 0.8846 | 363.12*** |
γ leverage Additional response to negative shocks | 0.0276 | 1.26 |
Persistence:
1.000
Half-life:
-
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