V-Lab
Guangdong Shaoneng Group 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 Monday, August 24th, 2026
1 Day
82.62
decreased by 1.52
1 Week
72.89
decreased by 11.25
1 Month
63.61
decreased by 20.53
Analysis last updated: Saturday, August 22, 2026 at 06:49 PM UTC
News Impact Curve
How returns affect tomorrow's illiquidityIlliquidity Forecast
How illiquidity evolves over timeParameter Estimates
Aug 30, 1996 to Aug 21, 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
Tap to view equation
| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 0.3833 | 0.01 |
α ARCH Response to squared shocks | 0.2651 | 0.00 |
β GARCH Volatility persistence | 0.7349 | 0.01 |
Spline Coefficients
K=4
| γ1 | 0.0938 | 0.00 |
| γ2 | -0.2492 | 0.00 |
| γ3 | 0.2507 | 0.01 |
| γ4 | -0.1690 | -0.01 |
Persistence:
1.000
Half-life:
86643 days
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