China Yangtze 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 Thursday, July 16th, 2026
1 Day
2.03
decreased by 0.14
1 Week
2.31
increased by 0.14
1 Month
2.91
increased by 0.74
Analysis last updated: Thursday, July 16, 2026 at 06:08 PM UTC
News Impact Curve
How returns affect tomorrow's liquidityLiquidity Forecast
How liquidity evolves over timeParameter Estimates
Nov 18, 2003 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 | 0.8714 | 0.06 |
α ARCH Response to squared shocks | 0.2168 | 0.00 |
β GARCH Volatility persistence | 0.7831 | 0.01 |
Spline Coefficients
K=7
| γ1 | 0.6124 | 0.00 |
| γ2 | -1.6079 | 0.00 |
| γ3 | 1.3109 | 0.00 |
| γ4 | -0.1985 | 0.00 |
| γ5 | -0.2168 | 0.00 |
| γ6 | 0.1204 | 0.00 |
| γ7 | -0.0435 | 0.00 |
Persistence:
1.000
Half-life:
99021 days
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