How illiquidity evolves over time

{name} Model Equation

How returns affect tomorrow's illiquidity

Spline Coefficients

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Parameter	Value	t-statistic
m window Rolling window length	126
α ARCH Response to squared shocks	0.0834	10.72***
β GARCH Volatility persistence	0.9034	385.90***
γ leverage Additional response to negative shocks	-0.0834	-5.76***
λ₁ tau intercept Baseline long-term coefficient	1.6233	4.00***
λ₂ forecast adj. Forecast performance sensitivity	0.0000	0.01
λ₃ tau persistence Long-term factor persistence	0.9990	1,014.22***

V-Lab

Schroder AsiaPacific Fund PLC ILLIQ-MFMEM Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other Schroder AsiaPacific Fund PLC Analyses