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	1.1554	0.91
α ARCH Response to squared shocks	0.3408	3.37***
β GARCH Volatility persistence	0.6528	7.22***

γ₁	-1.6928	-2.85***
γ₂	1.7590	1.95*
γ₃	0.3420	0.71
γ₄	-0.3108	-0.71
γ₅	-0.7496	-1.23
γ₆	0.8940	1.67*
γ₇	0.1622	0.51
γ₈	-0.7508	-2.74***
γ₉	0.5595	0.95

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Montanaro European Smaller Cos Trust PLC Spline ILLIQ Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other Montanaro European Smaller Cos Trust PLC Analyses