Jinneng Holding Shanxi Electric Power Co Ltd 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 Thursday, October 8th, 2026
1 Day
39.99
decreased by 2.64
1 Month
40.19
decreased by 2.44
Analysis last updated: Thursday, October 1, 2026 at 07:13 PM UTC
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How returns affect tomorrow's illiquidityIlliquidity Forecast
How illiquidity evolves over timeParameter Estimates
Jun 10, 1997 to Sep 30, 2026Model Insight
With persistence 1.000, illiquidity shocks have a half-life of 138629 trading days (~550.1 years), close to a unit root, so long-run forecasts are highly sensitive to this estimate.
μ
ILLIQ-SMEM Model
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High persistence: persistence 1.000, shock half-life ~138629 days
| Param | Value | t-stat |
|---|---|---|
| ωconst | 1.2194 | 0.00 |
| αARCH | 0.2244 | 0.00 |
| βGARCH | 0.7756 | 0.00 |
Spline Coefficients
K=9
| γ1 | 0.2891 | 0.00 |
| γ2 | -1.0946 | 0.00 |
| γ3 | 2.0143 | 0.00 |
| γ4 | -1.9770 | 0.00 |
| γ5 | 0.4148 | 0.00 |
| γ6 | 1.0382 | 0.00 |
| γ7 | -1.0958 | 0.00 |
| γ8 | 0.6540 | 0.00 |
| γ9 | -0.5641 | 0.00 |
1.000
Persistence138629d
Half-lifeμ
ILLIQ-SMEM Model
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| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 1.2194 | 0.00 |
α ARCH Response to squared shocks | 0.2244 | 0.00 |
β GARCH Volatility persistence | 0.7756 | 0.00 |
Spline Coefficients
K=9
| γ1 | 0.2891 | 0.00 |
| γ2 | -1.0946 | 0.00 |
| γ3 | 2.0143 | 0.00 |
| γ4 | -1.9770 | 0.00 |
| γ5 | 0.4148 | 0.00 |
| γ6 | 1.0382 | 0.00 |
| γ7 | -1.0958 | 0.00 |
| γ8 | 0.6540 | 0.00 |
| γ9 | -0.5641 | 0.00 |
Persistence:
1.000
Half-life:
138629 days
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