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	5.9956	2.24**
α ARCH Response to squared shocks	0.1691	7.47***
β GARCH Volatility persistence	0.7179	13.48***

γ₁	0.0516	3.21***
γ₂	-0.0754	-3.15***

V-Lab

CQS New City High Yield Fund Ltd Spline ILLIQ Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other CQS New City High Yield Fund Ltd Analyses