V-Lab
Guizhou Qianyuan 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
125.46
increased by 20.53
1 Month
62.62
decreased by 42.31
Analysis last updated: Thursday, October 1, 2026 at 07:15 PM UTC
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News Impact Curve
How returns affect tomorrow's illiquidityIlliquidity Forecast
How illiquidity evolves over timeParameter Estimates
Mar 3, 2005 to Sep 30, 2026Model Insight
Estimated persistence of 1.000 is at or above 1 (non-stationary): illiquidity shocks do not decay and the long-run level is undefined, so long-horizon forecasts should be treated with caution.
μ
ILLIQ-SMEM Model
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High persistence: persistence 1.000 ≥ 1, shocks do not decay
| Param | Value | t-stat |
|---|---|---|
| ωconst | 0.8466 | |
| αARCH | 0.2408 | |
| βGARCH | 0.7592 |
Spline Coefficients
K=10
| γ1 | -1.8725 | |
| γ2 | 6.1873 | |
| γ3 | -11.8632 | |
| γ4 | 23.3995 | |
| γ5 | -33.1265 | |
| γ6 | 28.9674 | |
| γ7 | -17.0952 | |
| γ8 | 1.6022 | |
| γ9 | 7.0003 | |
| γ10 | -2.5724 |
1.000
Persistence-
Half-lifeμ
ILLIQ-SMEM Model
Tap to view equation
| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 0.8466 | |
α ARCH Response to squared shocks | 0.2408 | |
β GARCH Volatility persistence | 0.7592 |
Spline Coefficients
K=10
| γ1 | -1.8725 | |
| γ2 | 6.1873 | |
| γ3 | -11.8632 | |
| γ4 | 23.3995 | |
| γ5 | -33.1265 | |
| γ6 | 28.9674 | |
| γ7 | -17.0952 | |
| γ8 | 1.6022 | |
| γ9 | 7.0003 | |
| γ10 | -2.5724 |
Persistence:
1.000
Half-life:
-
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