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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

Illiquidity prediction for Wednesday, September 30th, 2026

1 Day

43,837.25

decreased by 1,209.99

1 Week

45,465.96

increased by 418.72

1 Month

47,089.81

increased by 2,042.57

Analysis last updated: Wednesday, September 30, 2026 at 06:44 PM UTC

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Date Range:

from

09/29/2024

to

09/29/2026

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

All

graph of Shenzhen Zhongheng Huafa Co Ltd ILLIQ-AMEM

News Impact Curve

How returns affect tomorrow's illiquidity

Illiquidity Forecast

How illiquidity evolves over time

Parameter Estimates

Apr 28, 1992 to Sep 24, 2026

Model Insight

Estimated persistence of 1.000 is at or above 1 (non-stationary): illiquidity shocks do not decay and the long-run level is undefined, so long-horizon forecasts should be treated with caution.

Asymmetry: illiquidity responds almost entirely to negative returns

μ

ILLIQ-AMEM Model

Tap to view equation

High persistence: persistence 1.000 ≥ 1, shocks do not decayAsymmetry: illiquidity responds almost entirely to negative returns
ParamValuet-stat
ωconst5.0000
0.04
αARCH0.0258
0.83
βGARCH0.9137
43.80***
γleverage0.1210
2.11**

1.000

Persistence

-

Half-life
μ

ILLIQ-AMEM Model

Tap to view equation

ParameterValuet-statistic
ω

const

Unconditional variance weight

5.0000
0.04
α

ARCH

Response to squared shocks

0.0258
0.83
β

GARCH

Volatility persistence

0.9137
43.80***
γ

leverage

Additional response to negative shocks

0.1210
2.11**

Persistence:

1.000

Half-life:

-