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JPMorgan UK Small CAP Growth & Income PLC Asymmetric ILLIQ Liquidity Analysis

High-persistence model: shocks decay very slowly, so the theoretical long-run value may not be practically meaningful

Liquidity prediction for Tuesday, July 14th, 2026

1 Day

11,648.72

decreased by 74.43

1 Week

10,885.79

decreased by 837.36

1 Month

8,735.22

decreased by 2,987.93

Analysis last updated: Tuesday, July 14, 2026 at 08:27 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

All

graph of JPMorgan UK Small CAP Growth & Income PLC ILLIQ-AMEM

News Impact Curve

How returns affect tomorrow's liquidity

Liquidity Forecast

How liquidity evolves over time

Parameter Estimates

Jan 2, 2007 to Jul 10, 2026

Model Insight

Estimated persistence of 1.000 is at or above 1 (non-stationary): illiquidity shocks do not decay and the long-run level is undefined, so long-horizon forecasts should be treated with caution.

μ

ILLIQ-AMEM Model

Tap to view equation

ParameterValuet-statistic
ω

const

Unconditional variance weight

5.0000
0.10
α

ARCH

Response to squared shocks

0.0814
3.26***
β

GARCH

Volatility persistence

0.9239
193.86***
γ

leverage

Additional response to negative shocks

-0.0107
-0.28

Persistence:

1.000

Half-life:

-