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Beijing Jingneng Power 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

62.24

decreased by 9.63

1 Week

67.51

decreased by 4.36

1 Month

50.44

decreased by 21.43

Analysis last updated: Saturday, July 11, 2026 at 06:20 PM UTC

Date Range:

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to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

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graph of Beijing Jingneng Power Co Ltd ILLIQ-AMEM

News Impact Curve

How returns affect tomorrow's liquidity

Liquidity Forecast

How liquidity evolves over time

Parameter Estimates

May 10, 2002 to Jul 10, 2026

Model Insight

With persistence 1.000, illiquidity shocks have a half-life of 1386294 trading days (~5501.2 years), close to a unit root, so long-run forecasts are highly sensitive to this estimate.

Asymmetry: Illiquidity rises 94% more after negative returns

μ

ILLIQ-AMEM Model

Tap to view equation

ParameterValuet-statistic
ω

const

Unconditional variance weight

3.4491
8.90***
α

ARCH

Response to squared shocks

0.1524
12.95***
β

GARCH

Volatility persistence

0.7760
159.31***
γ

leverage

Additional response to negative shocks

0.1432
10.39***

Persistence:

1.000

Half-life:

1386294 days