V-Lab
Guangzhou Baiyunshan Pharmaceutical Holdings 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 Thursday, September 17th, 2026
1 Day
59.20
increased by 0.75
1 Week
56.83
decreased by 1.62
1 Month
46.35
decreased by 12.10
Analysis last updated: Thursday, September 17, 2026 at 06:06 PM UTC
News Impact Curve
How returns affect tomorrow's illiquidityIlliquidity Forecast
How illiquidity evolves over timeParameter Estimates
Feb 23, 2001 to Sep 14, 2026Model Insight
With persistence 1.000, illiquidity shocks have a half-life of 69314 trading days (~275.1 years), close to a unit root, so long-run forecasts are highly sensitive to this estimate.
μ
ILLIQ-SMEM Model
Tap to view equation
High persistence: persistence 1.000, shock half-life ~69314 days
| Param | Value | t-stat |
|---|---|---|
| ωconst | 1.2411 | 0.02 |
| αARCH | 0.2416 | 0.00 |
| βGARCH | 0.7584 | 0.01 |
Spline Coefficients
K=10
| γ1 | -1.3109 | 0.00 |
| γ2 | 5.1566 | 0.00 |
| γ3 | -8.0536 | -0.01 |
| γ4 | 6.5413 | 0.01 |
| γ5 | -3.2321 | -0.01 |
| γ6 | 1.1856 | 0.00 |
| γ7 | -0.3942 | 0.00 |
| γ8 | 0.2175 | 0.00 |
| γ9 | -0.2231 | 0.00 |
| γ10 | 0.1633 | 0.00 |
1.000
Persistence69314d
Half-lifeμ
ILLIQ-SMEM Model
Tap to view equation
| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 1.2411 | 0.02 |
α ARCH Response to squared shocks | 0.2416 | 0.00 |
β GARCH Volatility persistence | 0.7584 | 0.01 |
Spline Coefficients
K=10
| γ1 | -1.3109 | 0.00 |
| γ2 | 5.1566 | 0.00 |
| γ3 | -8.0536 | -0.01 |
| γ4 | 6.5413 | 0.01 |
| γ5 | -3.2321 | -0.01 |
| γ6 | 1.1856 | 0.00 |
| γ7 | -0.3942 | 0.00 |
| γ8 | 0.2175 | 0.00 |
| γ9 | -0.2231 | 0.00 |
| γ10 | 0.1633 | 0.00 |
Persistence:
1.000
Half-life:
69314 days
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