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Nuveen Churchill DI LEN Corp Spline ILLIQ Liquidity Analysis

Illiquidity prediction for Monday, July 27th, 2026

1 Day

5,589.15

decreased by 598.63

1 Week

5,980.38

decreased by 207.40

1 Month

6,207.44

increased by 19.66

Analysis last updated: Friday, July 24, 2026 at 10:46 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

All

graph of Nuveen Churchill DI LEN Corp ILLIQ-SMEM

News Impact Curve

How returns affect tomorrow's illiquidity

Illiquidity Forecast

How illiquidity evolves over time

Parameter Estimates

Jan 25, 2024 to Jul 24, 2026

Model Insight

With persistence 0.991, illiquidity shocks have a half-life of 79 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

ParameterValuet-statistic
ω

const

Unconditional variance weight

0.9607
5.28***
α

ARCH

Response to squared shocks

0.1131
5.14***
β

GARCH

Volatility persistence

0.8782
38.66***
γi Spline Coefficients
K=1
γ1-0.1223
-0.39

Persistence:

0.991

Half-life:

79 days