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	4.5690	0.00
α ARCH Response to squared shocks	0.3804	0.00
β GARCH Volatility persistence	0.6196	0.00

γ₁	-2.2281	0.00
γ₂	2.8133	0.00
γ₃	-0.7316	-0.01
γ₄	-0.2435	0.00
γ₅	0.9769	0.00
γ₆	-0.8362	0.00
γ₇	0.3387	0.01
γ₈	-0.3738	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