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V-Lab

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

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

All

graph of Churchill China PLC ILLIQ-SMEM

News Impact Curve

How returns affect tomorrow's liquidity

Liquidity Forecast

How liquidity evolves over time

Parameter Estimates

Jan 2, 2007 to Jul 17, 2026

Model 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

ParameterValuet-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***
γi Spline Coefficients
K=10
γ10.0275
0.05
γ2-0.7759
-0.83
γ30.8900
1.17
γ40.3587
0.61
γ5-0.8606
-1.93*
γ60.4870
0.99
γ7-0.0112
-0.02
γ8-0.1930
-0.48
γ90.1396
0.33
γ10-3.9961
-5.96***

Persistence:

0.957

Half-life:

16 days