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	1.7618	8.48***
α ARCH Response to squared shocks	0.0826	9.27***
β GARCH Volatility persistence	0.8981	83.73***

γ₁	-0.0211	-3.95***
γ₂	0.0441	4.22***

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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