Herald Investment Trust PLC Spline ILLIQ Liquidity Analysis
Liquidity prediction for Tuesday, July 14th, 2026
1 Day
8,232.72
decreased by 342.37
1 Week
9,257.90
increased by 682.81
1 Month
7,241.60
decreased by 1,333.49
Analysis last updated: Tuesday, July 14, 2026 at 08:14 PM UTC
News Impact Curve
How returns affect tomorrow's liquidityLiquidity Forecast
How liquidity evolves over timeParameter Estimates
Jan 2, 2007 to Jul 10, 2026Model Insight
With persistence 0.992, illiquidity shocks have a half-life of 83 trading days (~0.3 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 | 1.3467 | 7.75*** |
α ARCH Response to squared shocks | 0.0802 | 9.22*** |
β GARCH Volatility persistence | 0.9115 | 82.36*** |
Spline Coefficients
K=1
| γ1 | -0.0048 | -2.08** |
Persistence:
0.992
Half-life:
83 days
Other Herald Investment Trust PLC Analyses
Other Spline ILLIQ Analyses on Closed-end Funds