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
Liquidity prediction for Wednesday, July 22nd, 2026
1 Day
933.54
decreased by 255.71
1 Week
1,446.47
increased by 257.22
1 Month
2,301.40
increased by 1,112.15
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 86643 trading days (~343.8 years), close to a unit root, so long-run forecasts are highly sensitive to this estimate.
μ
ILLIQ-SMEM Model
Tap to view equation
| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 0.2433 | 0.00 |
α ARCH Response to squared shocks | 0.2224 | 0.00 |
β GARCH Volatility persistence | 0.7776 | 0.00 |
Spline Coefficients
K=8
| γ1 | 1.9954 | 0.00 |
| γ2 | -4.6995 | 0.00 |
| γ3 | 3.7113 | 0.01 |
| γ4 | -0.8692 | 0.00 |
| γ5 | -2.4200 | 0.00 |
| γ6 | 5.8600 | 0.00 |
| γ7 | -6.2220 | 0.00 |
| γ8 | 3.4852 | 0.01 |
Persistence:
1.000
Half-life:
86643 days
Other Sierra Cables PLC Analyses
Other Spline ILLIQ Analyses on International Equities