How illiquidity evolves over time

{name} Model Equation

How returns affect tomorrow's illiquidity

Spline Coefficients

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Parameter	Value	t-statistic
ω const Unconditional variance weight	0.2629	0.00
α ARCH Response to squared shocks	0.2171	0.00
β GARCH Volatility persistence	0.7829	0.00

γ₁	1.9493	0.00
γ₂	-4.6026	0.00
γ₃	3.6812	0.01
γ₄	-0.9426	-0.01
γ₅	-2.4174	-0.01
γ₆	6.1159	0.01
γ₇	-6.6143	-0.03
γ₈	3.7475	0.00

V-Lab

Sierra Cables PLC Spline ILLIQ Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other Sierra Cables PLC Analyses