V-Lab
Montanaro UK Smaller Companies Investment Trust PLC Spline ILLIQ Liquidity Analysis
High-persistence model: shocks decay very slowly, so the theoretical long-run value may not be practically meaningful
Illiquidity prediction for Friday, September 11th, 2026
1 Day
121,465.90
increased by 28.40
1 Week
128,461.20
increased by 7,023.70
1 Month
96,444.82
decreased by 24,992.68
Analysis last updated: Friday, September 11, 2026 at 09:29 PM UTC
News Impact Curve
How returns affect tomorrow's illiquidityIlliquidity Forecast
How illiquidity evolves over timeParameter Estimates
Jan 2, 2007 to Sep 4, 2026Model Insight
With persistence 1.000, illiquidity shocks have a half-life of 86643 trading days (~343.8 years), close to a unit root, so long-run forecasts are highly sensitive to this estimate.
μ
ILLIQ-SMEM Model
Tap to view equation
High persistence: persistence 1.000, shock half-life ~86643 days
| Param | Value | t-stat |
|---|---|---|
| ωconst | 1.1363 | 0.01 |
| αARCH | 0.1097 | 0.00 |
| βGARCH | 0.8903 | 0.01 |
Spline Coefficients
K=10
| γ1 | 0.4750 | 0.00 |
| γ2 | 0.0279 | 0.00 |
| γ3 | -4.0141 | -0.01 |
| γ4 | 8.7332 | 0.00 |
| γ5 | -9.5749 | 0.00 |
| γ6 | 6.2197 | 0.00 |
| γ7 | -1.5751 | 0.00 |
| γ8 | -0.7966 | 0.00 |
| γ9 | 0.4612 | 0.00 |
| γ10 | 0.6156 | 0.00 |
1.000
Persistence86643d
Half-lifeμ
ILLIQ-SMEM Model
Tap to view equation
| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 1.1363 | 0.01 |
α ARCH Response to squared shocks | 0.1097 | 0.00 |
β GARCH Volatility persistence | 0.8903 | 0.01 |
Spline Coefficients
K=10
| γ1 | 0.4750 | 0.00 |
| γ2 | 0.0279 | 0.00 |
| γ3 | -4.0141 | -0.01 |
| γ4 | 8.7332 | 0.00 |
| γ5 | -9.5749 | 0.00 |
| γ6 | 6.2197 | 0.00 |
| γ7 | -1.5751 | 0.00 |
| γ8 | -0.7966 | 0.00 |
| γ9 | 0.4612 | 0.00 |
| γ10 | 0.6156 | 0.00 |
Persistence:
1.000
Half-life:
86643 days
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