How illiquidity evolves over time

{name} Model Equation

How returns affect tomorrow's illiquidity

Spline Coefficients

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Parameter	Value	t-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***

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Nuveen Churchill DI LEN Corp Spline ILLIQ Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other Nuveen Churchill DI LEN Corp Analyses