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	1.0262	5.84***
α ARCH Response to squared shocks	0.0775	2.08**
β GARCH Volatility persistence	0.9224	24.79***

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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