INVESCO Asia Dragon Trust PLC Spline ILLIQ Liquidity Analysis
High-persistence model: shocks decay very slowly, so the theoretical long-run value may not be practically meaningful
Liquidity prediction for Wednesday, July 15th, 2026
1 Day
9,792.05
decreased by 1,960.34
1 Week
10,850.43
decreased by 901.96
1 Month
8,760.35
decreased by 2,992.04
Analysis last updated: Wednesday, July 15, 2026 at 09:10 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 1.000, illiquidity shocks have a half-life of 99021 trading days (~392.9 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 | 3.2847 | 0.00 |
α ARCH Response to squared shocks | 0.1996 | 0.00 |
β GARCH Volatility persistence | 0.8004 | 0.00 |
Spline Coefficients
K=8
| γ1 | -2.2444 | 0.00 |
| γ2 | 2.8325 | 0.00 |
| γ3 | -0.7457 | -0.01 |
| γ4 | -0.2251 | 0.00 |
| γ5 | 0.9182 | 0.00 |
| γ6 | -0.7114 | 0.00 |
| γ7 | 0.1651 | 0.00 |
| γ8 | -0.0632 | 0.00 |
Persistence:
1.000
Half-life:
99021 days
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