{name} Model Equation

Spline Coefficients

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Parameter	Value	t-statistic
m window Rolling window length	126
α ARCH Response to squared shocks	0.0628	1.72*
β GARCH Volatility persistence	0.9320	439.02***
γ leverage Additional response to negative shocks	-0.0628	-1.14
λ₁ tau intercept Baseline long-term coefficient	0.5704	3.47***
λ₂ forecast adj. Forecast performance sensitivity	0.0000	0.00
λ₃ tau persistence Long-term factor persistence	0.9990	289.81***

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JPMorgan Japanese Investment Trust plc ILLIQ-MFMEM Liquidity Analysis

Date Range:

News Impact Curve

Liquidity Forecast

Parameter Estimates

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