V-Lab
Montanaro European Smaller Cos Trust PLC Asymmetric ILLIQ Liquidity Analysis
High-persistence model: shocks decay very slowly, so the theoretical long-run value may not be practically meaningful
Illiquidity prediction for Monday, August 10th, 2026
1 Day
31,325.70
decreased by 2,307.75
1 Week
33,317.31
decreased by 316.14
1 Month
33,669.90
increased by 36.45
Analysis last updated: Sunday, August 9, 2026 at 02:14 AM UTC
News Impact Curve
How returns affect tomorrow's illiquidityIlliquidity Forecast
How illiquidity evolves over timeParameter Estimates
Jan 2, 2007 to Aug 7, 2026Model Insight
Estimated persistence of 1.000 is at or above 1 (non-stationary): illiquidity shocks do not decay and the long-run level is undefined, so long-horizon forecasts should be treated with caution.
μ
ILLIQ-AMEM Model
Tap to view equation
| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 5.0000 | 0.07 |
α ARCH Response to squared shocks | 0.0774 | 4.09*** |
β GARCH Volatility persistence | 0.9312 | 97.29*** |
γ leverage Additional response to negative shocks | -0.0172 | -2.07** |
Persistence:
1.000
Half-life:
-
Other Montanaro European Smaller Cos Trust PLC Analyses
Other Asymmetric ILLIQ Analyses on Closed-end Funds