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	0.8831	0.01
α ARCH Response to squared shocks	0.1064	0.00
β GARCH Volatility persistence	0.8936	0.01

γ₁	0.5262	0.00
γ₂	-0.0788	0.00
γ₃	-3.9296	-0.01
γ₄	8.6251	0.00
γ₅	-9.2878	0.00
γ₆	5.5972	0.00
γ₇	-1.0633	0.00
γ₈	-0.4092	0.00
γ₉	-0.4159	0.00
γ₁₀	1.0241	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