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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

Liquidity prediction for Wednesday, July 15th, 2026

1 Day

52,300.33

decreased by 5,597.65

1 Week

58,202.29

increased by 304.31

1 Month

57,692.95

decreased by 205.03

Analysis last updated: Wednesday, July 15, 2026 at 09:09 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

All

graph of Montanaro UK Smaller Companies Investment Trust PLC ILLIQ-SMEM

News Impact Curve

How returns affect tomorrow's liquidity

Liquidity Forecast

How liquidity evolves over time

Parameter Estimates

Jan 2, 2007 to Jul 10, 2026

Model Insight

With persistence 1.000, illiquidity shocks have a half-life of 77016 trading days (~305.6 years), close to a unit root, so long-run forecasts are highly sensitive to this estimate.

μ

ILLIQ-SMEM Model

Tap to view equation

ParameterValuet-statistic
ω

const

Unconditional variance weight

0.7835
0.02
α

ARCH

Response to squared shocks

0.1040
0.00
β

GARCH

Volatility persistence

0.8960
0.01
γi Spline Coefficients
K=10
γ10.6504
0.00
γ2-0.4856
0.00
γ3-3.0791
0.00
γ47.1915
0.00
γ5-7.6269
0.00
γ64.4281
0.00
γ7-0.9154
0.00
γ80.1061
0.00
γ9-0.6800
0.00
γ100.9005
0.01

Persistence:

1.000

Half-life:

77016 days