Nuveen Churchill DI LEN Corp ILLIQ-MFMEM Liquidity Analysis
Liquidity prediction for Wednesday, July 22nd, 2026
1 Day
5,775.52
1 Week
5,808.52
1 Month
5,915.82
Analysis last updated: Tuesday, July 21, 2026 at 09:50 PM UTC
News Impact Curve
How returns affect tomorrow's liquidityLiquidity Forecast
How liquidity evolves over timeParameter Estimates
Jan 25, 2024 to Jul 17, 2026Model Insight
With persistence 0.995, illiquidity shocks have a half-life of 151 trading days (~0.6 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 | 0.0556 | 41.31*** |
β GARCH Volatility persistence | 0.9411 | 632.90*** |
γ leverage Additional response to negative shocks | -0.0025 | -3.30*** |
λ₁ tau intercept Baseline long-term coefficient | 5,376.6340 |
Persistence:
0.995
Half-life:
151 days
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