V-Lab
Sierra Cables PLC Spline ILLIQ Liquidity Analysis
High-persistence model: shocks decay very slowly, so the theoretical long-run value may not be practically meaningful
Illiquidity prediction for Monday, September 21st, 2026
1 Day
293.42
increased by 25.83
1 Week
304.76
increased by 37.17
1 Month
307.73
increased by 40.14
Analysis last updated: Sunday, September 20, 2026 at 02:16 AM UTC
News Impact Curve
How returns affect tomorrow's illiquidityIlliquidity Forecast
How illiquidity evolves over timeParameter Estimates
Jul 13, 2010 to Sep 18, 2026Model Insight
With persistence 1.000, illiquidity shocks have a half-life of 77016 trading days (~305.6 years), close to a unit root, so long-run forecasts are highly sensitive to this estimate.
μ
ILLIQ-SMEM Model
Tap to view equation
High persistence: persistence 1.000, shock half-life ~77016 days
| Param | Value | t-stat |
|---|---|---|
| ωconst | 0.2521 | 0.00 |
| αARCH | 0.2192 | 0.00 |
| βGARCH | 0.7808 | 0.00 |
Spline Coefficients
K=8
| γ1 | 1.9314 | 0.00 |
| γ2 | -4.5729 | 0.00 |
| γ3 | 3.6868 | 0.01 |
| γ4 | -0.9987 | -0.03 |
| γ5 | -2.3869 | -0.01 |
| γ6 | 6.2224 | 0.02 |
| γ7 | -6.8703 | -0.04 |
| γ8 | 4.3603 | 0.00 |
1.000
Persistence77016d
Half-lifeμ
ILLIQ-SMEM Model
Tap to view equation
| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 0.2521 | 0.00 |
α ARCH Response to squared shocks | 0.2192 | 0.00 |
β GARCH Volatility persistence | 0.7808 | 0.00 |
Spline Coefficients
K=8
| γ1 | 1.9314 | 0.00 |
| γ2 | -4.5729 | 0.00 |
| γ3 | 3.6868 | 0.01 |
| γ4 | -0.9987 | -0.03 |
| γ5 | -2.3869 | -0.01 |
| γ6 | 6.2224 | 0.02 |
| γ7 | -6.8703 | -0.04 |
| γ8 | 4.3603 | 0.00 |
Persistence:
1.000
Half-life:
77016 days
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