V-Lab
Ternium SA Asymmetric ILLIQ Liquidity Analysis
High-persistence model: shocks decay very slowly, so the theoretical long-run value may not be practically meaningful
Illiquidity prediction for Tuesday, August 25th, 2026
1 Day
548.84
1 Week
602.46
1 Month
599.96
Analysis last updated: Monday, August 24, 2026 at 09:51 PM UTC
News Impact Curve
How returns affect tomorrow's illiquidityIlliquidity Forecast
How illiquidity evolves over timeParameter Estimates
Feb 1, 2006 to Aug 21, 2026Model 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 157% more after negative returns
ILLIQ-AMEM Model
Tap to view equation
| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 5.0000 | 4.16*** |
α ARCH Response to squared shocks | 0.0465 | 22.03*** |
β GARCH Volatility persistence | 0.9170 | 621.30*** |
γ leverage Additional response to negative shocks | 0.0729 | 16.62*** |
Persistence:
1.000
Half-life:
1386294 days
Other Ternium SA Analyses
Other Asymmetric ILLIQ Analyses on Depositary Receipts