Churchill China PLC Spline ILLIQ Liquidity Analysis
Liquidity prediction for Tuesday, July 21st, 2026
1 Day
18,278.94
increased by 18,278.88
1 Week
3,655.85
increased by 3,655.79
1 Month
876.33
increased by 876.27
Analysis last updated: Tuesday, July 21, 2026 at 08:11 PM UTC
News Impact Curve
How returns affect tomorrow's liquidityLiquidity Forecast
How liquidity evolves over timeParameter Estimates
Jan 2, 2007 to Jul 17, 2026Model Insight
This model fits a time-varying baseline (a spline), so illiquidity mean-reverts toward a slowly-shifting long-run level rather than a constant. Short-run deviations decay with a half-life of 16 trading days.
μ
ILLIQ-SMEM Model
Tap to view equation
| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 1.4384 | 1.66* |
α ARCH Response to squared shocks | 0.2990 | 6.34*** |
β GARCH Volatility persistence | 0.6583 | 28.05*** |
Spline Coefficients
K=10
| γ1 | 0.0275 | 0.05 |
| γ2 | -0.7759 | -0.83 |
| γ3 | 0.8900 | 1.17 |
| γ4 | 0.3587 | 0.61 |
| γ5 | -0.8606 | -1.93* |
| γ6 | 0.4870 | 0.99 |
| γ7 | -0.0112 | -0.02 |
| γ8 | -0.1930 | -0.48 |
| γ9 | 0.1396 | 0.33 |
| γ10 | -3.9961 | -5.96*** |
Persistence:
0.957
Half-life:
16 days
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