JPMorgan European Growth & Income plc Spline ILLIQ Liquidity Analysis
Liquidity prediction for Tuesday, July 21st, 2026
1 Day
4,410.11
decreased by 222.16
1 Week
4,643.52
increased by 11.25
1 Month
4,753.23
increased by 120.96
Analysis last updated: Tuesday, July 21, 2026 at 08:01 PM UTC
News Impact Curve
How returns affect tomorrow's liquidityLiquidity Forecast
How liquidity evolves over timeParameter Estimates
Jan 2, 2007 to Jul 17, 2026Model Insight
With persistence 0.998, illiquidity shocks have a half-life of 281 trading days (~1.1 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 | 0.9204 | 2.62*** |
α ARCH Response to squared shocks | 0.0639 | 6.45*** |
β GARCH Volatility persistence | 0.9336 | 103.64*** |
Spline Coefficients
K=1
| γ1 | -0.0374 | -3.32*** |
Persistence:
0.998
Half-life:
281 days
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