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	36
α ARCH Response to squared shocks	0.1068	0.53
β GARCH Volatility persistence	0.7975	15.14***
γ leverage Additional response to negative shocks	-0.1068	-0.24
λ₁ tau intercept Baseline long-term coefficient	7.7237	0.87
λ₂ forecast adj. Forecast performance sensitivity	0.1235	7.28***
λ₃ tau persistence Long-term factor persistence	0.8751	3.75***

V-Lab

Henderson Far East Income Ltd ILLIQ-MFMEM Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other Henderson Far East Income Ltd Analyses