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	0.9790	2.25**
α ARCH Response to squared shocks	0.1475	4.18***
β GARCH Volatility persistence	0.8273	30.60***

γ₁	-0.3705	-6.51***
γ₂	0.4841	5.43***
γ₃	-0.1051	-1.69*
γ₄	0.0147	0.29
γ₅	-0.0873	-1.25

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Henderson Smaller Companies Investment Trust PLC/The Spline ILLIQ Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other Henderson Smaller Companies Investment Trust PLC/The Analyses