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	0.0918	5.34***
β GARCH Volatility persistence	0.9100	104.17***
γ leverage Additional response to negative shocks	-0.0037	-0.24

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Montanaro UK Smaller Companies Investment Trust PLC Asymmetric ILLIQ Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other Montanaro UK Smaller Companies Investment Trust PLC Analyses