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	1.1537	0.00
α ARCH Response to squared shocks	0.1082	0.00
β GARCH Volatility persistence	0.8918	0.01

γ₁	0.5102	0.00
γ₂	-0.1025	0.00
γ₃	-3.7024	0.00
γ₄	8.1751	0.00
γ₅	-8.9160	0.00
γ₆	5.5155	0.00
γ₇	-0.7936	0.00
γ₈	-1.3213	0.00
γ₉	0.5529	0.00
γ₁₀	0.7226	0.00

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Montanaro UK Smaller Companies Investment Trust PLC Spline ILLIQ Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other Montanaro UK Smaller Companies Investment Trust PLC Analyses