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	5.0000	1.83*
α ARCH Response to squared shocks	0.0460	15.82***
β GARCH Volatility persistence	0.9432	641.66***
γ leverage Additional response to negative shocks	0.0215	4.92***

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JPMorgan Japanese Investment Trust plc Asymmetric ILLIQ Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other JPMorgan Japanese Investment Trust plc Analyses