V-Lab
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
Illiquidity prediction for Monday, September 21st, 2026
1 Day
43.94
increased by 1.68
1 Week
38.33
decreased by 3.93
1 Month
35.43
decreased by 6.83
Analysis last updated: Saturday, September 19, 2026 at 06:31 PM UTC
News Impact Curve
How returns affect tomorrow's illiquidityIlliquidity Forecast
How illiquidity evolves over timeParameter Estimates
May 10, 2002 to Sep 18, 2026Model Insight
With persistence 1.000, illiquidity shocks have a half-life of 138629 trading days (~550.1 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 ~138629 days
| Param | Value | t-stat |
|---|---|---|
| ωconst | 2.6660 | 0.00 |
| αARCH | 0.2388 | 0.00 |
| βGARCH | 0.7612 | 0.00 |
Spline Coefficients
K=5
| γ1 | 0.2340 | 0.00 |
| γ2 | -0.7474 | 0.00 |
| γ3 | 0.8999 | 0.00 |
| γ4 | -0.5742 | 0.00 |
| γ5 | 0.2705 | 0.00 |
1.000
Persistence138629d
Half-lifeμ
ILLIQ-SMEM Model
Tap to view equation
| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 2.6660 | 0.00 |
α ARCH Response to squared shocks | 0.2388 | 0.00 |
β GARCH Volatility persistence | 0.7612 | 0.00 |
Spline Coefficients
K=5
| γ1 | 0.2340 | 0.00 |
| γ2 | -0.7474 | 0.00 |
| γ3 | 0.8999 | 0.00 |
| γ4 | -0.5742 | 0.00 |
| γ5 | 0.2705 | 0.00 |
Persistence:
1.000
Half-life:
138629 days
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