Montanaro UK Smaller Companies Investment Trust PLC ILLIQ-MFMEM Liquidity Analysis
Liquidity prediction for Tuesday, July 14th, 2026
1 Day
70,517.09
1 Week
72,354.25
1 Month
72,158.82
Analysis last updated: Tuesday, July 14, 2026 at 08:31 PM UTC
News Impact Curve
How returns affect tomorrow's liquidityLiquidity Forecast
How liquidity evolves over timeParameter Estimates
Jan 2, 2007 to Jul 10, 2026Model Insight
Estimated persistence of 1.000 is at or above 1 (non-stationary): illiquidity shocks do not decay and the long-run level is undefined, so long-horizon forecasts should be treated with caution. This multi-frequency model splits illiquidity into a fast short-run component and a slow-moving long-run level that drifts over the sample rather than a constant baseline.
ILLIQ-MFMEM Model
Tap to view equation
| Parameter | Value | t-statistic |
|---|---|---|
α ARCH Response to squared shocks | 0.1784 | 10.19*** |
β GARCH Volatility persistence | 0.8737 | 113.72*** |
γ leverage Additional response to negative shocks | -0.1042 | -4.92*** |
λ₁ tau intercept Baseline long-term coefficient | 160,605.2000 |
Persistence:
1.000
Half-life:
-
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