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	8.8389	0.00
α ARCH Response to squared shocks	0.2049	0.00
β GARCH Volatility persistence	0.7951	0.00

γ₁	-1.0294	-0.01
γ₂	1.5641	0.01
γ₃	-3.8438	0.00
γ₄	8.8738	0.00
γ₅	-8.7293	0.00
γ₆	3.8952	0.00
γ₇	-1.2312	0.00
γ₈	1.0243	0.00

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