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Jinneng Holding Shanxi Electric Power Co Ltd Asymmetric ILLIQ Liquidity Analysis

High-persistence model: shocks decay very slowly, so the theoretical long-run value may not be practically meaningful

Liquidity prediction for Thursday, July 16th, 2026

1 Day

91.13

decreased by 6.82

1 Week

95.25

decreased by 2.70

1 Month

75.59

decreased by 22.36

Analysis last updated: Thursday, July 16, 2026 at 06:18 PM UTC

Date Range:

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to

6M ·

1Y ·

2Y ·

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10Y ·

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graph of Jinneng Holding Shanxi Electric Power Co Ltd ILLIQ-AMEM

News Impact Curve

How returns affect tomorrow's liquidity

Liquidity Forecast

How liquidity evolves over time

Parameter Estimates

Jun 10, 1997 to Jul 10, 2026

Model Insight

With persistence 1.000, illiquidity shocks have a half-life of 1386294 trading days (~5501.2 years), close to a unit root, so long-run forecasts are highly sensitive to this estimate.

Asymmetry: Illiquidity rises 66% more after negative returns

μ

ILLIQ-AMEM Model

Tap to view equation

ParameterValuet-statistic
ω

const

Unconditional variance weight

5.0000
3.58***
α

ARCH

Response to squared shocks

0.1412
29.09***
β

GARCH

Volatility persistence

0.8124
538.39***
γ

leverage

Additional response to negative shocks

0.0928
10.65***

Persistence:

1.000

Half-life:

1386294 days