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Jiangxi Ganneng 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 Monday, July 13th, 2026

1 Day

171.18

decreased by 40.13

1 Week

185.13

decreased by 26.18

1 Month

184.07

decreased by 27.24

Analysis last updated: Saturday, July 11, 2026 at 07:04 PM UTC

Date Range:

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to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

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graph of Jiangxi Ganneng Co Ltd ILLIQ-AMEM

News Impact Curve

How returns affect tomorrow's liquidity

Liquidity Forecast

How liquidity evolves over time

Parameter Estimates

Nov 26, 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 289% more after negative returns

μ

ILLIQ-AMEM Model

Tap to view equation

ParameterValuet-statistic
ω

const

Unconditional variance weight

5.0000
3.91***
α

ARCH

Response to squared shocks

0.1072
12.79***
β

GARCH

Volatility persistence

0.7378
54.59***
γ

leverage

Additional response to negative shocks

0.3101
5.99***

Persistence:

1.000

Half-life:

1386294 days