How illiquidity evolves over time

{name} Model Equation

How returns affect tomorrow's illiquidity

Spline Coefficients

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Parameter	Value	t-statistic
m window Rolling window length	31
α ARCH Response to squared shocks	0.0993	0.10
β GARCH Volatility persistence	0.7882	6.48***
γ leverage Additional response to negative shocks	-0.0993	-0.05
λ₁ tau intercept Baseline long-term coefficient	10.0000	0.22
λ₂ forecast adj. Forecast performance sensitivity	0.1846	0.21
λ₃ tau persistence Long-term factor persistence	0.8154	0.86

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Baillie Gifford Japan Trust PLC/The ILLIQ-MFMEM Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other Baillie Gifford Japan Trust PLC/The Analyses