How illiquidity evolves over time

{name} Model Equation

How returns affect tomorrow's illiquidity

Spline Coefficients

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Parameter	Value	t-statistic
α ARCH Response to squared shocks	0.0550	40.86***
β GARCH Volatility persistence	0.9406	620.03***
γ leverage Additional response to negative shocks	-0.0014	-1.82*
λ₁ tau intercept Baseline long-term coefficient	5,366.8380

V-Lab

Nuveen Churchill DI LEN Corp ILLIQ-MFMEM Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other Nuveen Churchill DI LEN Corp Analyses