Beijing Jingneng Power Co Ltd Spline 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
44.12
decreased by 6.67
1 Week
44.06
decreased by 6.73
1 Month
30.46
decreased by 20.33
Analysis last updated: Saturday, July 11, 2026 at 06:21 PM UTC
News Impact Curve
How returns affect tomorrow's liquidityLiquidity Forecast
How liquidity evolves over timeParameter Estimates
May 10, 2002 to Jul 10, 2026Model Insight
With persistence 1.000, illiquidity shocks have a half-life of 99021 trading days (~392.9 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 | 0.5491 | 0.01 |
α ARCH Response to squared shocks | 0.2280 | 0.00 |
β GARCH Volatility persistence | 0.7720 | 0.00 |
Spline Coefficients
K=4
| γ1 | -0.0027 | 0.00 |
| γ2 | -0.4009 | 0.00 |
| γ3 | 0.8501 | 0.01 |
| γ4 | -0.7414 | -0.01 |
Persistence:
1.000
Half-life:
99021 days
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