WAM Active 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 Wednesday, July 15th, 2026
1 Day
719,303.90
decreased by 4,393.70
1 Week
727,769.62
increased by 4,072.02
1 Month
765,193.49
increased by 41,495.89
Analysis last updated: Wednesday, July 15, 2026 at 06:07 PM UTC
News Impact Curve
How returns affect tomorrow's liquidityLiquidity Forecast
How liquidity evolves over timeParameter Estimates
Jan 11, 2008 to Jul 10, 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 | 0.00 |
α ARCH Response to squared shocks | 0.0109 | 1.15 |
β GARCH Volatility persistence | 0.9938 | 2,007.66*** |
γ leverage Additional response to negative shocks | -0.0094 | -0.96 |
Persistence:
1.000
Half-life:
-
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