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
News Impact Curve
How returns affect tomorrow's liquidityLiquidity Forecast
How liquidity evolves over timeParameter Estimates
Jan 2, 2007 to Jul 10, 2026Model 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
| Parameter | Value | t-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 |
Spline Coefficients
K=10
| γ1 | 0.6504 | 0.00 |
| γ2 | -0.4856 | 0.00 |
| γ3 | -3.0791 | 0.00 |
| γ4 | 7.1915 | 0.00 |
| γ5 | -7.6269 | 0.00 |
| γ6 | 4.4281 | 0.00 |
| γ7 | -0.9154 | 0.00 |
| γ8 | 0.1061 | 0.00 |
| γ9 | -0.6800 | 0.00 |
| γ10 | 0.9005 | 0.01 |
Persistence:
1.000
Half-life:
77016 days
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