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	1.0505	1.32
α ARCH Response to squared shocks	0.3342	3.83***
β GARCH Volatility persistence	0.6621	7.95***

γ₁	-2.1672	-3.12***
γ₂	2.1709	2.28**
γ₃	0.4450	1.12
γ₄	-0.4038	-0.83
γ₅	-0.1105	-0.21
γ₆	-0.8083	-1.05
γ₇	1.9619	1.58
γ₈	-1.2848	-1.14
γ₉	-0.0274	-0.04
γ₁₀	0.5142	0.72

V-Lab

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