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	1.9303	4.54***
α ARCH Response to squared shocks	0.0991	5.58***
β GARCH Volatility persistence	0.8275	30.53***

γ₁	-0.4773	-3.30***
γ₂	0.7100	3.65***
γ₃	-0.2503	-2.60***
γ₄	0.0337	0.36
γ₅	-0.0441	-0.54
γ₆	0.0816	0.88

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