Hunan Energy Group Development Co Ltd ILLIQ-MFMEM Liquidity Analysis
Liquidity prediction for Monday, July 20th, 2026
1 Day
238.36
1 Week
272.54
1 Month
223.09
Analysis last updated: Saturday, July 18, 2026 at 09:50 PM UTC
News Impact Curve
How returns affect tomorrow's liquidityLiquidity Forecast
How liquidity evolves over timeParameter Estimates
May 22, 1997 to Jul 17, 2026Model Insight
With persistence 0.999, illiquidity shocks have a half-life of 586 trading days (~2.3 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 | 126 | |
α ARCH Response to squared shocks | 0.4040 | 0.40 |
β GARCH Volatility persistence | 0.6927 | 132.07*** |
γ leverage Additional response to negative shocks | -0.1957 | -0.10 |
λ₁ tau intercept Baseline long-term coefficient | 0.0000 | 0.50 |
λ₂ forecast adj. Forecast performance sensitivity | 0.0000 | 0.00 |
λ₃ tau persistence Long-term factor persistence | 0.9825 | 47.59*** |
Persistence:
0.999
Half-life:
586 days
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