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	1.9225	4.54***
α ARCH Response to squared shocks	0.0991	5.56***
β GARCH Volatility persistence	0.8269	30.32***

γ₁	-0.4814	-3.31***
γ₂	0.7153	3.67***
γ₃	-0.2526	-2.61***
γ₄	0.0381	0.41
γ₅	-0.0556	-0.67
γ₆	0.1186	1.23

V-Lab

Neuberger Private Equity Partners Ltd Spline ILLIQ Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other Neuberger Private Equity Partners Ltd Analyses