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CQS New City High Yield Fund Ltd Asymmetric ILLIQ Liquidity Analysis

High-persistence model: shocks decay very slowly, so the theoretical long-run value may not be practically meaningful

Illiquidity prediction for Monday, August 10th, 2026

1 Day

2,618.30

decreased by 686.01

1 Week

4,135.62

increased by 831.31

1 Month

3,536.62

increased by 232.31

Analysis last updated: Sunday, August 9, 2026 at 02:42 AM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

All

graph of CQS New City High Yield Fund Ltd ILLIQ-AMEM

News Impact Curve

How returns affect tomorrow's illiquidity

Illiquidity Forecast

How illiquidity evolves over time

Parameter Estimates

Mar 7, 2007 to Aug 7, 2026

Model Insight

With persistence 1.000, illiquidity shocks have a half-life of 1386294 trading days (~5501.2 years), close to a unit root, so long-run forecasts are highly sensitive to this estimate.

μ

ILLIQ-AMEM Model

Tap to view equation

ParameterValuet-statistic
ω

const

Unconditional variance weight

5.0000
0.05
α

ARCH

Response to squared shocks

0.1162
3.96***
β

GARCH

Volatility persistence

0.7909
12.99***
γ

leverage

Additional response to negative shocks

0.1858
0.54

Persistence:

1.000

Half-life:

1386294 days