JPMorgan UK Small CAP Growth & Income PLC Spline ILLIQ Liquidity Analysis
Liquidity prediction for Tuesday, July 14th, 2026
1 Day
16,805.63
decreased by 773.51
1 Week
16,295.71
decreased by 1,283.43
1 Month
11,473.33
decreased by 6,105.81
Analysis last updated: Tuesday, July 14, 2026 at 08:27 PM UTC
News Impact Curve
How returns affect tomorrow's liquidityLiquidity Forecast
How liquidity evolves over timeParameter Estimates
Jan 2, 2007 to Jul 10, 2026Model Insight
With persistence 0.999, illiquidity shocks have a half-life of 844 trading days (~3.3 years), close to a unit root, so long-run forecasts are highly sensitive to this estimate.
μ
ILLIQ-SMEM Model
Tap to view equation
| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 1.1662 | 3.60*** |
α ARCH Response to squared shocks | 0.1946 | 6.87*** |
β GARCH Volatility persistence | 0.8046 | 28.52*** |
Spline Coefficients
K=8
| γ1 | -0.9833 | -2.01** |
| γ2 | 1.5314 | 1.90* |
| γ3 | -3.7654 | -2.80*** |
| γ4 | 8.5646 | 3.47*** |
| γ5 | -8.3630 | -3.82*** |
| γ6 | 3.6924 | 4.48*** |
| γ7 | -1.1353 | -3.87*** |
| γ8 | 0.9596 | 3.01*** |
Persistence:
0.999
Half-life:
844 days
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