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CRRC Corp Ltd Asymmetric ILLIQ Liquidity Analysis

Illiquidity prediction for Wednesday, August 26th, 2026

1 Day

17.25

decreased by 0.73

1 Week

17.33

decreased by 0.65

1 Month

15.70

decreased by 2.28

Analysis last updated: Wednesday, August 26, 2026 at 07:38 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

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graph of CRRC Corp Ltd ILLIQ-AMEM

News Impact Curve

How returns affect tomorrow's illiquidity

Illiquidity Forecast

How illiquidity evolves over time

Parameter Estimates

Aug 18, 2008 to Aug 21, 2026

Model Insight

With persistence 1.000, illiquidity shocks have a half-life of 1419 trading days (~5.6 years), close to a unit root, so long-run forecasts are highly sensitive to this estimate.

Asymmetry: Illiquidity rises 30% more after negative returns

μ

ILLIQ-AMEM Model

Tap to view equation

ParameterValuet-statistic
ω

const

Unconditional variance weight

0.6240
15.41***
α

ARCH

Response to squared shocks

0.1846
20.55***
β

GARCH

Volatility persistence

0.7876
313.53***
γ

leverage

Additional response to negative shocks

0.0547
3.51***

Persistence:

1.000

Half-life:

1419 days