How illiquidity evolves over time

{name} Model Equation

How returns affect tomorrow's illiquidity

Spline Coefficients

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Parameter	Value	t-statistic
m window Rolling window length	36
α ARCH Response to squared shocks	0.1267	0.88
β GARCH Volatility persistence	0.7519	23.26***
γ leverage Additional response to negative shocks	0.2426	1.08
λ₁ tau intercept Baseline long-term coefficient	2.0868	0.00
λ₂ forecast adj. Forecast performance sensitivity	0.1197	4.11***
λ₃ tau persistence Long-term factor persistence	0.8803	6.45***

V-Lab

Henderson Smaller Companies Investment Trust PLC/The ILLIQ-MFMEM Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other Henderson Smaller Companies Investment Trust PLC/The Analyses