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	46
α ARCH Response to squared shocks	0.5702	0.46
β GARCH Volatility persistence	0.6252	23.35***
γ leverage Additional response to negative shocks	-0.5000	-0.21
λ₁ tau intercept Baseline long-term coefficient	10.0000	0.46
λ₂ forecast adj. Forecast performance sensitivity	0.0324	0.49
λ₃ tau persistence Long-term factor persistence	0.9676	698.61***

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Montanaro European Smaller Cos Trust PLC ILLIQ-MFMEM Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other Montanaro European Smaller Cos Trust PLC Analyses