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 Monday, October 12th, 2026
1 Day
107.60
decreased by 21.62
1 Week
118.41
decreased by 10.81
1 Month
78.85
decreased by 50.37
Analysis last updated: Saturday, October 10, 2026 at 07:35 PM UTC
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How returns affect tomorrow's illiquidityIlliquidity Forecast
How illiquidity evolves over timeParameter Estimates
Mar 3, 2005 to Oct 9, 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 | 0.6293 | 1.37 |
| αARCH | 0.2315 | 0.15 |
| βGARCH | 0.7685 | 0.51 |
Spline Coefficients
K=10
| γ1 | -1.7825 | -0.23 |
| γ2 | 3.0077 | 0.14 |
| γ3 | -5.8591 | -0.09 |
| γ4 | 19.6385 | 0.10 |
| γ5 | -30.0888 | -0.12 |
| γ6 | 23.8986 | 0.17 |
| γ7 | -12.3812 | -0.29 |
| γ8 | 3.5149 | 0.16 |
| γ9 | 0.0775 | 0.01 |
| γ10 | -0.0059 | 0.00 |
1.000
Persistence138629d
Half-lifeμ
ILLIQ-SMEM Model
Tap to view equation
| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 0.6293 | 1.37 |
α ARCH Response to squared shocks | 0.2315 | 0.15 |
β GARCH Volatility persistence | 0.7685 | 0.51 |
Spline Coefficients
K=10
| γ1 | -1.7825 | -0.23 |
| γ2 | 3.0077 | 0.14 |
| γ3 | -5.8591 | -0.09 |
| γ4 | 19.6385 | 0.10 |
| γ5 | -30.0888 | -0.12 |
| γ6 | 23.8986 | 0.17 |
| γ7 | -12.3812 | -0.29 |
| γ8 | 3.5149 | 0.16 |
| γ9 | 0.0775 | 0.01 |
| γ10 | -0.0059 | 0.00 |
Persistence:
1.000
Half-life:
138629 days
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