Nuveen Churchill DI LEN Corp Spline ILLIQ Liquidity Analysis
Liquidity prediction for Wednesday, July 22nd, 2026
1 Day
6,001.46
decreased by 359.14
1 Week
6,081.33
decreased by 279.27
1 Month
6,263.83
decreased by 96.77
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 0.991, illiquidity shocks have a half-life of 80 trading days (~0.3 years), close to a unit root, so long-run forecasts are highly sensitive to this estimate.
μ
ILLIQ-SMEM Model
Tap to view equation
| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 0.9696 | 5.28*** |
α ARCH Response to squared shocks | 0.1135 | 5.15*** |
β GARCH Volatility persistence | 0.8778 | 38.45*** |
Spline Coefficients
K=1
| γ1 | -0.0782 | -0.25 |
Persistence:
0.991
Half-life:
80 days
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