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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

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

All

graph of Herald Investment Trust PLC ILLIQ-SMEM

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 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

ParameterValuet-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***
γi Spline Coefficients
K=1
γ1-0.0048
-2.08**

Persistence:

0.992

Half-life:

83 days