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	2.5035	0.00
α ARCH Response to squared shocks	0.1821	0.00
β GARCH Volatility persistence	0.8179	0.00

γ₁	-2.3561	0.00
γ₂	2.9944	0.00
γ₃	-0.8234	-0.01
γ₄	-0.2387	0.00
γ₅	1.0760	0.00
γ₆	-0.9282	0.00
γ₇	0.3821	0.00
γ₈	-0.4657	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