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	1.7675	8.52***
α ARCH Response to squared shocks	0.0823	9.26***
β GARCH Volatility persistence	0.8983	83.85***

γ₁	-0.0207	-3.93***
γ₂	0.0431	4.18***

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Schroder AsiaPacific Fund PLC Spline ILLIQ Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other Schroder AsiaPacific Fund PLC Analyses