Zhejiang Daily Digital Culture Group 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 Friday, July 10th, 2026
1 Day
76.74
decreased by 4.52
1 Week
74.80
decreased by 6.46
1 Month
90.37
increased by 9.11
Analysis last updated: Friday, July 10, 2026 at 06:31 PM UTC
News Impact Curve
How returns affect tomorrow's liquidityLiquidity Forecast
How liquidity evolves over timeParameter Estimates
Mar 4, 1993 to Jul 3, 2026Model Insight
With persistence 1.000, illiquidity shocks have a half-life of 86643 trading days (~343.8 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 | 0.8990 | 0.28 |
α ARCH Response to squared shocks | 0.2022 | 0.01 |
β GARCH Volatility persistence | 0.7978 | 0.02 |
Spline Coefficients
K=10
| γ1 | -3.1238 | 0.00 |
| γ2 | 9.8899 | 0.00 |
| γ3 | -10.9067 | 0.00 |
| γ4 | 5.3986 | 0.00 |
| γ5 | -2.7365 | -0.01 |
| γ6 | 2.0998 | 0.01 |
| γ7 | -0.3521 | 0.00 |
| γ8 | -0.5939 | 0.00 |
| γ9 | 0.5824 | 0.01 |
| γ10 | -0.5529 | -0.01 |
Persistence:
1.000
Half-life:
86643 days
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