Shenzhen Zhongheng Huafa Co Ltd Spline ILLIQ Liquidity Analysis
Liquidity prediction for Monday, July 13th, 2026
1 Day
160,213.80
increased by 19,319.90
1 Week
95,933.40
decreased by 44,960.50
1 Month
49,685.78
decreased by 91,208.12
Analysis last updated: Saturday, July 11, 2026 at 07:37 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 1829 trading days (~7.3 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 | 1.3287 | 2.42** |
α ARCH Response to squared shocks | 0.2167 | 10.54*** |
β GARCH Volatility persistence | 0.7830 | 37.99*** |
Spline Coefficients
K=8
| γ1 | 0.0254 | 0.23 |
| γ2 | -1.1145 | -5.25*** |
| γ3 | 3.1157 | 7.71*** |
| γ4 | -4.1524 | -6.73*** |
| γ5 | 1.3211 | 1.29 |
| γ6 | 3.0181 | 1.60 |
| γ7 | -0.3547 | -0.18 |
| γ8 | -5.3289 | -1.74* |
Persistence:
1.000
Half-life:
1829 days
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