Rizhao Port Co Ltd Spline ILLIQ Liquidity Analysis
High-persistence model: shocks decay very slowly, so the theoretical long-run value may not be practically meaningful
Illiquidity prediction for Friday, October 23rd, 2026
1 Day
134.98
increased by 42.79
1 Week
117.36
increased by 25.17
1 Month
86.24
decreased by 5.95
Analysis last updated: Friday, October 23, 2026 at 06:03 PM UTC
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News Impact Curve
How returns affect tomorrow's illiquidityIlliquidity Forecast
How illiquidity evolves over timeParameter Estimates
Oct 17, 2006 to Oct 16, 2026Model Insight
With persistence 1.000, illiquidity shocks have a half-life of 115524 trading days (~458.4 years), close to a unit root, so long-run forecasts are highly sensitive to this estimate.
μ
ILLIQ-SMEM Model
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High persistence: persistence 1.000, shock half-life ~115524 days
| Param | Value | t-stat |
|---|---|---|
| ωconst | 1.4503 | 0.00 |
| αARCH | 0.1985 | 0.00 |
| βGARCH | 0.8015 | 0.00 |
Spline Coefficients
K=4
| γ1 | 0.2185 | 0.00 |
| γ2 | -0.9431 | 0.00 |
| γ3 | 1.5081 | 0.00 |
| γ4 | -1.0856 | 0.00 |
1.000
Persistence115524d
Half-lifeμ
ILLIQ-SMEM Model
Tap to view equation
| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 1.4503 | 0.00 |
α ARCH Response to squared shocks | 0.1985 | 0.00 |
β GARCH Volatility persistence | 0.8015 | 0.00 |
Spline Coefficients
K=4
| γ1 | 0.2185 | 0.00 |
| γ2 | -0.9431 | 0.00 |
| γ3 | 1.5081 | 0.00 |
| γ4 | -1.0856 | 0.00 |
Persistence:
1.000
Half-life:
115524 days
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