Neuberger Private Equity Partners Ltd Spline ILLIQ Liquidity Analysis
Liquidity prediction for Wednesday, July 15th, 2026
1 Day
15,072.31
decreased by 1,197.20
1 Week
15,551.43
decreased by 718.08
1 Month
13,943.25
decreased by 2,326.26
Analysis last updated: Wednesday, July 15, 2026 at 09:09 PM UTC
News Impact Curve
How returns affect tomorrow's liquidityLiquidity Forecast
How liquidity evolves over timeParameter Estimates
Oct 13, 2009 to Jul 10, 2026Model Insight
This model fits a time-varying baseline (a spline), so illiquidity mean-reverts toward a slowly-shifting long-run level rather than a constant. Short-run deviations decay with a half-life of 9 trading days.
μ
ILLIQ-SMEM Model
Tap to view equation
| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 1.9092 | 4.51*** |
α ARCH Response to squared shocks | 0.0995 | 5.58*** |
β GARCH Volatility persistence | 0.8261 | 30.21*** |
Spline Coefficients
K=6
| γ1 | -0.4890 | -3.34*** |
| γ2 | 0.7250 | 3.69*** |
| γ3 | -0.2552 | -2.59*** |
| γ4 | 0.0413 | 0.43 |
| γ5 | -0.0624 | -0.75 |
| γ6 | 0.1334 | 1.38 |
Persistence:
0.926
Half-life:
9 days
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