V-Lab
Datang Huayin Electric 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, August 24th, 2026
1 Day
30.15
decreased by 7.45
1 Week
35.41
decreased by 2.19
1 Month
37.15
decreased by 0.45
Analysis last updated: Saturday, August 22, 2026 at 06:41 PM UTC
News Impact Curve
How returns affect tomorrow's illiquidityIlliquidity Forecast
How illiquidity evolves over timeParameter Estimates
Sep 5, 1996 to Aug 21, 2026Model Insight
With persistence 1.000, illiquidity shocks have a half-life of 115524 trading days (~458.4 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 | 2.0704 | 0.00 |
α ARCH Response to squared shocks | 0.2280 | 0.00 |
β GARCH Volatility persistence | 0.7720 | 0.00 |
Spline Coefficients
K=3
| γ1 | 0.0757 | 0.00 |
| γ2 | -0.2597 | -0.01 |
| γ3 | 0.4478 | 0.01 |
Persistence:
1.000
Half-life:
115524 days
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