V-Lab
Guangdong Baolihua New Energy Stock Co Ltd ILLIQ-MFMEM Liquidity Analysis
Illiquidity prediction for Monday, August 24th, 2026
1 Day
54.95
1 Week
65.25
1 Month
64.84
Analysis last updated: Saturday, August 22, 2026 at 07:11 PM UTC
News Impact Curve
How returns affect tomorrow's illiquidityIlliquidity Forecast
How illiquidity evolves over timeParameter Estimates
Jan 28, 1997 to Aug 21, 2026Model Insight
With persistence 0.995, illiquidity shocks have a half-life of 138 trading days (~0.5 years), close to a unit root, so long-run forecasts are highly sensitive to this estimate. This multi-frequency model splits illiquidity into a fast short-run component and a slow-moving long-run level that drifts over the sample rather than a constant baseline.
ILLIQ-MFMEM Model
Tap to view equation
| Parameter | Value | t-statistic |
|---|---|---|
m window Rolling window length | 21 | |
α ARCH Response to squared shocks | 0.2155 | 0.00 |
β GARCH Volatility persistence | 0.8367 | 21.76*** |
γ leverage Additional response to negative shocks | -0.1144 | 0.00 |
λ₁ tau intercept Baseline long-term coefficient | 0.0000 | 0.00 |
λ₂ forecast adj. Forecast performance sensitivity | 0.7031 | 0.00 |
λ₃ tau persistence Long-term factor persistence | 0.2969 | 0.02 |
Persistence:
0.995
Half-life:
138 days
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