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	5.0000	0.07
α ARCH Response to squared shocks	0.0773	4.10***
β GARCH Volatility persistence	0.9312	97.38***
γ leverage Additional response to negative shocks	-0.0171	-2.06**

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Montanaro European Smaller Cos Trust PLC Asymmetric ILLIQ Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other Montanaro European Smaller Cos Trust PLC Analyses