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CRRC Corp Ltd Asymmetric ILLIQ Liquidity Analysis

Illiquidity prediction for Monday, August 10th, 2026

1 Day

15.01

decreased by 0.22

1 Week

15.97

increased by 0.74

1 Month

13.58

decreased by 1.65

Analysis last updated: Saturday, August 8, 2026 at 06:22 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

All

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 7, 2026

Model Insight

With persistence 1.000, illiquidity shocks have a half-life of 1526 trading days (~6.1 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

0.6235
15.28***
α

ARCH

Response to squared shocks

0.1846
20.51***
β

GARCH

Volatility persistence

0.7873
313.65***
γ

leverage

Additional response to negative shocks

0.0554
3.55***

Persistence:

1.000

Half-life:

1526 days