Sierra Cables PLC Asymmetric ILLIQ Liquidity Analysis
High-persistence model: shocks decay very slowly, so the theoretical long-run value may not be practically meaningful
Liquidity prediction for Wednesday, July 22nd, 2026
1 Day
2,490.04
1 Week
2,722.19
1 Month
2,890.53
Analysis last updated: Wednesday, July 22, 2026 at 08:16 PM UTC
News Impact Curve
How returns affect tomorrow's liquidityLiquidity Forecast
How liquidity evolves over timeParameter Estimates
Jul 13, 2010 to Jul 17, 2026Model Insight
With persistence 1.000, illiquidity shocks have a half-life of 1386294 trading days (~5501.2 years), close to a unit root, so long-run forecasts are highly sensitive to this estimate.
Asymmetry: Illiquidity rises 226% more after negative returns
ILLIQ-AMEM Model
Tap to view equation
| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 1.3897 | 0.10 |
α ARCH Response to squared shocks | 0.0235 | 3.40*** |
β GARCH Volatility persistence | 0.9499 | 750.92*** |
γ leverage Additional response to negative shocks | 0.0532 | 2.03** |
Persistence:
1.000
Half-life:
1386294 days
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