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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

increased by 27,342.96

1 Week

76,142.49

increased by 1,762.15

1 Month

54,281.41

decreased by 20,098.93

Analysis last updated: Saturday, July 11, 2026 at 07:36 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

All

graph of Shenzhen Zhongheng Huafa Co Ltd ILLIQ-AMEM

News Impact Curve

How returns affect tomorrow's liquidity

Liquidity Forecast

How liquidity evolves over time

Parameter Estimates

Apr 28, 1992 to Jul 10, 2026

Model 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

μ

ILLIQ-AMEM Model

Tap to view equation

ParameterValuet-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