Veto Switchgears And Cables Asymmetric ILLIQ Liquidity Analysis
Liquidity prediction for Wednesday, July 22nd, 2026
1 Day
7,019.89
increased by 535.32
1 Week
5,737.79
decreased by 746.78
1 Month
4,326.15
decreased by 2,158.42
Analysis last updated: Wednesday, July 22, 2026 at 07:22 PM UTC
News Impact Curve
How returns affect tomorrow's liquidityLiquidity Forecast
How liquidity evolves over timeParameter Estimates
Sep 4, 2015 to Jul 17, 2026Model Insight
With persistence 0.997, illiquidity shocks have a half-life of 251 trading days (~1.0 years), close to a unit root, so long-run forecasts are highly sensitive to this estimate.
Asymmetry: Illiquidity rises 106% more after negative returns
μ
ILLIQ-AMEM Model
Tap to view equation
| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 5.0000 | 2.90*** |
α ARCH Response to squared shocks | 0.1213 | 24.71*** |
β GARCH Volatility persistence | 0.8114 | 301.17*** |
γ leverage Additional response to negative shocks | 0.1291 | 17.51*** |
Persistence:
0.997
Half-life:
251 days
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