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Van Lanschot Kempen NV 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 Monday, August 24th, 2026
1 Day
3,061.98
1 Week
3,055.79
1 Month
3,767.01
Analysis last updated: Sunday, August 23, 2026 at 01:23 AM UTC
News Impact Curve
How returns affect tomorrow's illiquidityIlliquidity Forecast
How illiquidity evolves over timeParameter Estimates
Aug 22, 2018 to Aug 21, 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.
Asymmetry: Illiquidity rises 167% more after negative returns
ILLIQ-AMEM Model
Tap to view equation
| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 5.0000 | 1.03 |
α ARCH Response to squared shocks | 0.0398 | 12.55*** |
β GARCH Volatility persistence | 0.9269 | 455.06*** |
γ leverage Additional response to negative shocks | 0.0665 | 10.32*** |
Persistence:
1.000
Half-life:
-
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