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Herald Investment Trust 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 14th, 2026

1 Day

8,760.67

decreased by 158.60

1 Week

9,479.62

increased by 560.35

1 Month

6,866.41

decreased by 2,052.86

Analysis last updated: Tuesday, July 14, 2026 at 08:14 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

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graph of Herald Investment Trust PLC ILLIQ-AMEM

News Impact Curve

How returns affect tomorrow's liquidity

Liquidity Forecast

How liquidity evolves over time

Parameter Estimates

Jan 2, 2007 to Jul 10, 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 113% more after negative returns

μ

ILLIQ-AMEM Model

Tap to view equation

ParameterValuet-statistic
ω

const

Unconditional variance weight

5.0000
0.96
α

ARCH

Response to squared shocks

0.0384
19.72***
β

GARCH

Volatility persistence

0.9398
679.52***
γ

leverage

Additional response to negative shocks

0.0435
10.11***

Persistence:

1.000

Half-life:

1386294 days