Fujian SBS Zipper Science & Technology 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 Tuesday, October 20th, 2026
1 Day
518.12
increased by 26.90
1 Week
480.23
decreased by 10.99
1 Month
434.07
decreased by 57.15
Analysis last updated: Tuesday, October 20, 2026 at 06:21 PM UTC
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News Impact Curve
How returns affect tomorrow's illiquidityIlliquidity Forecast
How illiquidity evolves over timeParameter Estimates
Dec 22, 2006 to Oct 16, 2026Model Insight
With persistence 1.000, illiquidity shocks have a half-life of 23105 trading days (~91.7 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 ~23105 days
| Param | Value | t-stat |
|---|---|---|
| ωconst | 14.6281 | 0.03 |
| αARCH | 0.3579 | 0.04 |
| βGARCH | 0.6421 | 0.07 |
Spline Coefficients
K=10
| γ1 | -7.6663 | -0.11 |
| γ2 | 15.4634 | 0.10 |
| γ3 | -11.5819 | -0.09 |
| γ4 | -4.0047 | -0.06 |
| γ5 | 26.8064 | 0.07 |
| γ6 | -36.6981 | -0.07 |
| γ7 | 28.4874 | 0.07 |
| γ8 | -14.4010 | -0.06 |
| γ9 | 2.8816 | 0.04 |
| γ10 | 1.4202 | 0.15 |
1.000
Persistence23105d
Half-lifeμ
ILLIQ-SMEM Model
Tap to view equation
| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 14.6281 | 0.03 |
α ARCH Response to squared shocks | 0.3579 | 0.04 |
β GARCH Volatility persistence | 0.6421 | 0.07 |
Spline Coefficients
K=10
| γ1 | -7.6663 | -0.11 |
| γ2 | 15.4634 | 0.10 |
| γ3 | -11.5819 | -0.09 |
| γ4 | -4.0047 | -0.06 |
| γ5 | 26.8064 | 0.07 |
| γ6 | -36.6981 | -0.07 |
| γ7 | 28.4874 | 0.07 |
| γ8 | -14.4010 | -0.06 |
| γ9 | 2.8816 | 0.04 |
| γ10 | 1.4202 | 0.15 |
Persistence:
1.000
Half-life:
23105 days
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