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 Monday, July 20th, 2026
1 Day
2.22
decreased by 0.21
1 Week
2.27
decreased by 0.16
1 Month
2.83
increased by 0.40
Analysis last updated: Saturday, July 18, 2026 at 09:25 PM UTC
News Impact Curve
How returns affect tomorrow's liquidityLiquidity Forecast
How liquidity evolves over timeParameter Estimates
Nov 18, 2003 to Jul 17, 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 | 0.8950 | 0.05 |
α ARCH Response to squared shocks | 0.2169 | 0.00 |
β GARCH Volatility persistence | 0.7831 | 0.00 |
Spline Coefficients
K=6
| γ1 | 0.2365 | 0.00 |
| γ2 | -0.9655 | 0.00 |
| γ3 | 1.0881 | 0.08 |
| γ4 | -0.3788 | -0.01 |
| γ5 | -0.0285 | 0.00 |
| γ6 | 0.0732 | 0.00 |
Persistence:
1.000
Half-life:
115524 days
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