Shenzhen Zhongheng Huafa 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
101,723.30
1 Week
76,142.49
1 Month
54,281.41
Analysis last updated: Saturday, July 11, 2026 at 07:36 PM UTC
News Impact Curve
How returns affect tomorrow's liquidityLiquidity Forecast
How liquidity evolves over timeParameter Estimates
Apr 28, 1992 to Jul 10, 2026Model Insight
With persistence 1.000, illiquidity shocks have a half-life of 693147 trading days (~2750.6 years), close to a unit root, so long-run forecasts are highly sensitive to this estimate.
Asymmetry: illiquidity responds almost entirely to negative returns
ILLIQ-AMEM Model
Tap to view equation
| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 5.0000 | 0.16 |
α ARCH Response to squared shocks | 0.0258 | 3.34*** |
β GARCH Volatility persistence | 0.9139 | 175.50*** |
γ leverage Additional response to negative shocks | 0.1208 | 8.42*** |
Persistence:
1.000
Half-life:
693147 days
Other Shenzhen Zhongheng Huafa Co Ltd Analyses
Other Asymmetric ILLIQ Analyses on International Equities