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Trf 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 Monday, July 13th, 2026

1 Day

4,846.75

decreased by 695.88

1 Week

5,386.25

decreased by 156.38

1 Month

5,836.44

increased by 293.81

Analysis last updated: Saturday, July 11, 2026 at 10:17 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

All

graph of Trf Ltd ILLIQ-AMEM

News Impact Curve

How returns affect tomorrow's liquidity

Liquidity Forecast

How liquidity evolves over time

Parameter Estimates

Jun 26, 1997 to Jul 10, 2026

Model Insight

With persistence 1.000, illiquidity shocks have a half-life of 1386294 trading days (~5501.2 years), close to a unit root, so long-run forecasts are highly sensitive to this estimate.

Asymmetry: Illiquidity rises 57% more after negative returns

μ

ILLIQ-AMEM Model

Tap to view equation

ParameterValuet-statistic
ω

const

Unconditional variance weight

5.0000
2.49**
α

ARCH

Response to squared shocks

0.1122
16.41***
β

GARCH

Volatility persistence

0.8559
286.24***
γ

leverage

Additional response to negative shocks

0.0638
6.32***

Persistence:

1.000

Half-life:

1386294 days