Shanghai Hi-Tech Control System 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 Monday, July 20th, 2026
1 Day
380.83
increased by 53.67
1 Week
393.53
increased by 66.37
1 Month
380.45
increased by 53.29
Analysis last updated: Saturday, July 18, 2026 at 10:04 PM UTC
News Impact Curve
How returns affect tomorrow's liquidityLiquidity Forecast
How liquidity evolves over timeParameter Estimates
Nov 16, 2007 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 | 0.8699 | 2.03** |
α ARCH Response to squared shocks | 0.2620 | 0.12 |
β GARCH Volatility persistence | 0.7380 | 0.35 |
Spline Coefficients
K=1
| γ1 | -0.0143 | -0.10 |
Persistence:
1.000
Half-life:
86643 days
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