V-Lab
Nuveen Churchill DI LEN Corp ILLIQ-MFMEM Liquidity Analysis
Illiquidity prediction for Monday, July 27th, 2026
1 Day
5,554.02
1 Week
5,743.97
1 Month
5,883.93
Analysis last updated: Friday, July 24, 2026 at 10:46 PM UTC
News Impact Curve
How returns affect tomorrow's illiquidityIlliquidity Forecast
How illiquidity evolves over timeParameter Estimates
Jan 25, 2024 to Jul 24, 2026Model Insight
With persistence 0.995, illiquidity shocks have a half-life of 135 trading days (~0.5 years), close to a unit root, so long-run forecasts are highly sensitive to this estimate. This multi-frequency model splits illiquidity into a fast short-run component and a slow-moving long-run level that drifts over the sample rather than a constant baseline.
ILLIQ-MFMEM Model
Tap to view equation
| 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 |
Persistence:
0.995
Half-life:
135 days
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