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V-Lab

Sensyne Health PLC Asymmetric ILLIQ Liquidity Analysis

Inactive

Last recorded values (Monday, June 20th, 2022):

1 Day

138,261.10

1 Week

106,863.62

1 Month

58,346.10

Analysis last updated: Tuesday, March 31, 2026 at 08:59 AM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

All

graph of Sensyne Health PLC ILLIQ-AMEM

News Impact Curve

How returns affect tomorrow's liquidity

Liquidity Forecast

How liquidity evolves over time

Parameter Estimates

Aug 17, 2018 to Jun 17, 2022

Model Insight

Estimated persistence of 1.000 is at or above 1 (non-stationary): illiquidity shocks do not decay and the long-run level is undefined, so long-horizon forecasts should be treated with caution.

Asymmetry: Illiquidity rises 255% more after negative returns

μ

ILLIQ-AMEM Model

Tap to view equation

ParameterValuet-statistic
ω

const

Unconditional variance weight

5.0000
0.94
α

ARCH

Response to squared shocks

0.0411
5.30***
β

GARCH

Volatility persistence

0.9063
139.93***
γ

leverage

Additional response to negative shocks

0.1051
5.86***

Persistence:

1.000

Half-life:

-