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	0.9167	2.95***
α ARCH Response to squared shocks	0.0638	0.09
β GARCH Volatility persistence	0.9362	1.32

V-Lab

JPMorgan Japanese Investment Trust plc Spline ILLIQ Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other JPMorgan Japanese Investment Trust plc Analyses