How illiquidity evolves over time

{name} Model Equation

How returns affect tomorrow's illiquidity

Spline Coefficients

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Parameter	Value	t-statistic
m window Rolling window length	21
α ARCH Response to squared shocks	0.5255	0.00
β GARCH Volatility persistence	0.0000	0.00
γ leverage Additional response to negative shocks	-0.5000	0.00
λ₁ tau intercept Baseline long-term coefficient	10.0000	0.01
λ₂ forecast adj. Forecast performance sensitivity	0.5241	0.01
λ₃ tau persistence Long-term factor persistence	0.4759	0.03

V-Lab

JPMorgan UK Small CAP Growth & Income PLC ILLIQ-MFMEM Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other JPMorgan UK Small CAP Growth & Income PLC Analyses