Zeta Network Group 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 Tuesday, July 21st, 2026
1 Day
290,407.10
1 Week
331,732.02
1 Month
383,913.58
Analysis last updated: Monday, July 20, 2026 at 09:17 PM UTC
News Impact Curve
How returns affect tomorrow's liquidityLiquidity Forecast
How liquidity evolves over timeParameter Estimates
Jan 28, 2009 to Jul 17, 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 86% more after negative returns
ILLIQ-AMEM Model
Tap to view equation
| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 5.0000 | 0.12 |
α ARCH Response to squared shocks | 0.0890 | 20.11*** |
β GARCH Volatility persistence | 0.8728 | 254.24*** |
γ leverage Additional response to negative shocks | 0.0763 | 9.13*** |
Persistence:
1.000
Half-life:
1386294 days
Other Zeta Network Group Analyses
Other Asymmetric ILLIQ Analyses on Equities