CRRC Corp 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
10.45
decreased by 1.29
1 Week
12.14
increased by 0.40
1 Month
12.63
increased by 0.89
Analysis last updated: Saturday, July 18, 2026 at 09:29 PM UTC
News Impact Curve
How returns affect tomorrow's liquidityLiquidity Forecast
How liquidity evolves over timeParameter Estimates
Aug 18, 2008 to Jul 17, 2026Model Insight
With persistence 1.000, illiquidity shocks have a half-life of 86643 trading days (~343.8 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 | 0.7643 | 0.03 |
α ARCH Response to squared shocks | 0.2170 | 0.00 |
β GARCH Volatility persistence | 0.7830 | 0.01 |
Spline Coefficients
K=3
| γ1 | -0.7368 | 0.00 |
| γ2 | 1.1620 | 0.01 |
| γ3 | -0.6522 | -0.01 |
Persistence:
1.000
Half-life:
86643 days
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