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	1.0267	5.81***
α ARCH Response to squared shocks	0.0778	1.57
β GARCH Volatility persistence	0.9221	18.60***

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Baillie Gifford Japan Trust PLC/The Spline ILLIQ Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other Baillie Gifford Japan Trust PLC/The Analyses