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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 Tuesday, July 21st, 2026

1 Day

2,619.87

decreased by 96.52

1 Week

2,840.47

increased by 124.08

1 Month

2,910.55

increased by 194.16

Analysis last updated: Tuesday, July 21, 2026 at 07:48 PM UTC

Date Range:

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to

6M ·

1Y ·

2Y ·

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10Y ·

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graph of Sierra Cables PLC ILLIQ-AMEM

News Impact Curve

How returns affect tomorrow's liquidity

Liquidity Forecast

How liquidity evolves over time

Parameter Estimates

Jul 13, 2010 to Jul 17, 2026

Model 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

μ

ILLIQ-AMEM Model

Tap to view equation

ParameterValuet-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