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	4.0752	0.00
α ARCH Response to squared shocks	0.1923	0.00
β GARCH Volatility persistence	0.8077	0.00

γ₁	-2.1970	0.00
γ₂	2.7877	0.00
γ₃	-0.7540	-0.01
γ₄	-0.2505	0.00
γ₅	1.0629	0.00
γ₆	-0.9513	0.00
γ₇	0.4244	0.00
γ₈	-0.4630	0.00

V-Lab

INVESCO Asia Dragon Trust PLC Spline ILLIQ Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other INVESCO Asia Dragon Trust PLC Analyses