SPIC Green Energy Co Ltd Spline ILLIQ Liquidity Analysis
High-persistence model: shocks decay very slowly, so the theoretical long-run value may not be practically meaningful
Liquidity prediction for Tuesday, July 21st, 2026
1 Day
64.08
increased by 13.09
1 Week
64.26
increased by 13.27
1 Month
57.80
increased by 6.81
Analysis last updated: Tuesday, July 21, 2026 at 06:15 PM UTC
News Impact Curve
How returns affect tomorrow's liquidityLiquidity Forecast
How liquidity evolves over timeParameter Estimates
Sep 26, 2002 to Jul 17, 2026Model Insight
With persistence 1.000, illiquidity shocks have a half-life of 86643 trading days (~343.8 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 | 2.6382 | 0.00 |
α ARCH Response to squared shocks | 0.2776 | 0.00 |
β GARCH Volatility persistence | 0.7224 | 0.00 |
Spline Coefficients
K=5
| γ1 | 0.2129 | 0.00 |
| γ2 | -0.5877 | 0.00 |
| γ3 | 0.6038 | 0.03 |
| γ4 | -0.3372 | -0.29 |
| γ5 | 0.2106 | 0.00 |
Persistence:
1.000
Half-life:
86643 days
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