How illiquidity evolves over time

{name} Model Equation

How returns affect tomorrow's illiquidity

Spline Coefficients

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Parameter	Value	t-statistic
m window Rolling window length	36
α ARCH Response to squared shocks	0.1457	0.98
β GARCH Volatility persistence	0.7087	91.11***
γ leverage Additional response to negative shocks	0.2904	1.02
λ₁ tau intercept Baseline long-term coefficient	0.3383	0.00
λ₂ forecast adj. Forecast performance sensitivity	0.0577	1.22
λ₃ tau persistence Long-term factor persistence	0.9423	46.49***

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CQS New City High Yield Fund Ltd ILLIQ-MFMEM Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other CQS New City High Yield Fund Ltd Analyses