Shandong Xinneng Taishan Power Generation Co Ltd Spline ILLIQ Liquidity Analysis
Liquidity prediction for Wednesday, July 22nd, 2026
1 Day
268.96
decreased by 55.60
1 Week
283.52
decreased by 41.04
1 Month
212.76
decreased by 111.80
Analysis last updated: Wednesday, July 22, 2026 at 06:17 PM UTC
News Impact Curve
How returns affect tomorrow's liquidityLiquidity Forecast
How liquidity evolves over timeParameter Estimates
May 9, 1997 to Jul 17, 2026Model Insight
With persistence 1.000, illiquidity shocks have a half-life of 5824 trading days (~23.1 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 | 1.4857 | 1.26 |
α ARCH Response to squared shocks | 0.2961 | 10.33*** |
β GARCH Volatility persistence | 0.7038 | 24.59*** |
Spline Coefficients
K=1
| γ1 | -0.0023 | -0.61 |
Persistence:
1.000
Half-life:
5824 days
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