V-Lab
Ningxia Western Venture Industrial Co Ltd Spline ILLIQ Liquidity Analysis
High-persistence model: shocks decay very slowly, so the theoretical long-run value may not be practically meaningful
Illiquidity prediction for Thursday, September 10th, 2026
1 Day
277.72
decreased by 90.82
1 Week
333.37
decreased by 35.17
1 Month
409.96
increased by 41.42
Analysis last updated: Thursday, September 10, 2026 at 06:30 PM UTC
News Impact Curve
How returns affect tomorrow's illiquidityIlliquidity Forecast
How illiquidity evolves over timeParameter Estimates
Jun 17, 1994 to Sep 4, 2026Model Insight
With persistence 1.000, illiquidity shocks have a half-life of 86643 trading days (~343.8 years), close to a unit root, so long-run forecasts are highly sensitive to this estimate.
μ
ILLIQ-SMEM Model
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High persistence: persistence 1.000, shock half-life ~86643 days
| Param | Value | t-stat |
|---|---|---|
| ωconst | 0.4151 | 0.03 |
| αARCH | 0.3223 | 0.00 |
| βGARCH | 0.6777 | 0.00 |
Spline Coefficients
K=5
| γ1 | -1.5097 | -0.10 |
| γ2 | 3.5698 | 0.40 |
| γ3 | -4.0851 | -0.18 |
| γ4 | 3.6003 | 0.18 |
| γ5 | -2.5497 | -0.18 |
1.000
Persistence86643d
Half-lifeμ
ILLIQ-SMEM Model
Tap to view equation
| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 0.4151 | 0.03 |
α ARCH Response to squared shocks | 0.3223 | 0.00 |
β GARCH Volatility persistence | 0.6777 | 0.00 |
Spline Coefficients
K=5
| γ1 | -1.5097 | -0.10 |
| γ2 | 3.5698 | 0.40 |
| γ3 | -4.0851 | -0.18 |
| γ4 | 3.6003 | 0.18 |
| γ5 | -2.5497 | -0.18 |
Persistence:
1.000
Half-life:
86643 days
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