V-Lab
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
Illiquidity prediction for Friday, September 11th, 2026
1 Day
9,368.68
increased by 0.42
1 Week
9,839.38
increased by 471.12
1 Month
8,613.72
decreased by 754.54
Analysis last updated: Friday, September 11, 2026 at 09:39 PM UTC
News Impact Curve
How returns affect tomorrow's illiquidityIlliquidity Forecast
How illiquidity evolves over timeParameter Estimates
Jan 2, 2007 to Sep 4, 2026Model Insight
With persistence 1.000, illiquidity shocks have a half-life of 86643 trading days (~343.8 years), close to a unit root, so long-run forecasts are highly sensitive to this estimate.
μ
ILLIQ-SMEM Model
Tap to view equation
High persistence: persistence 1.000, shock half-life ~86643 days
| Param | Value | t-stat |
|---|---|---|
| ωconst | 3.3301 | 0.00 |
| αARCH | 0.2593 | 0.00 |
| βGARCH | 0.7407 | 0.00 |
Spline Coefficients
K=8
| γ1 | -2.2240 | 0.00 |
| γ2 | 2.7989 | 0.00 |
| γ3 | -0.7339 | -0.01 |
| γ4 | -0.2309 | 0.00 |
| γ5 | 1.0066 | 0.00 |
| γ6 | -0.8922 | 0.00 |
| γ7 | 0.3812 | 0.00 |
| γ8 | -0.4521 | 0.00 |
1.000
Persistence86643d
Half-lifeμ
ILLIQ-SMEM Model
Tap to view equation
| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 3.3301 | 0.00 |
α ARCH Response to squared shocks | 0.2593 | 0.00 |
β GARCH Volatility persistence | 0.7407 | 0.00 |
Spline Coefficients
K=8
| γ1 | -2.2240 | 0.00 |
| γ2 | 2.7989 | 0.00 |
| γ3 | -0.7339 | -0.01 |
| γ4 | -0.2309 | 0.00 |
| γ5 | 1.0066 | 0.00 |
| γ6 | -0.8922 | 0.00 |
| γ7 | 0.3812 | 0.00 |
| γ8 | -0.4521 | 0.00 |
Persistence:
1.000
Half-life:
86643 days
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