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	1.1775	3.70***
α ARCH Response to squared shocks	0.1978	6.91***
β GARCH Volatility persistence	0.8012	28.14***

γ₁	-0.9194	-1.93*
γ₂	1.4398	1.84*
γ₃	-3.8228	-2.78***
γ₄	8.8747	3.41***
γ₅	-8.7498	-3.73***
γ₆	3.9250	4.40***
γ₇	-1.2777	-4.35***
γ₈	1.1427	3.34***

V-Lab

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

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other JPMorgan UK Small CAP Growth & Income PLC Analyses