V-Lab
JPMorgan European Growth & Income plc Spline ILLIQ Liquidity Analysis
Illiquidity prediction for Monday, July 27th, 2026
1 Day
4,846.46
decreased by 199.50
1 Week
4,742.16
decreased by 303.80
1 Month
4,723.22
decreased by 322.74
Analysis last updated: Sunday, July 26, 2026 at 06:27 AM UTC
News Impact Curve
How returns affect tomorrow's illiquidityIlliquidity Forecast
How illiquidity evolves over timeParameter Estimates
Jan 2, 2007 to Jul 24, 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 | 0.9211 | 2.62*** |
α ARCH Response to squared shocks | 0.0639 | 6.45*** |
β GARCH Volatility persistence | 0.9336 | 103.65*** |
Spline Coefficients
K=1
| γ1 | -0.0374 | -3.33*** |
Persistence:
0.998
Half-life:
281 days
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