V-Lab
Partners Group Private Equity Ltd ILLIQ-MFMEM Liquidity Analysis
Illiquidity prediction for Thursday, August 13th, 2026
1 Day
30,995.86
1 Week
20,761.36
1 Month
15,724.61
Analysis last updated: Thursday, August 13, 2026 at 09:07 PM UTC
News Impact Curve
How returns affect tomorrow's illiquidityIlliquidity Forecast
How illiquidity evolves over timeParameter Estimates
Nov 1, 2007 to Aug 7, 2026Model Insight
Illiquidity shocks decay with a half-life of 2 trading days, meaning a shock loses half its impact after approximately 2 days. This multi-frequency model splits illiquidity into a fast short-run component and a slow-moving long-run level that drifts over the sample rather than a constant baseline.
ILLIQ-MFMEM Model
Tap to view equation
| Parameter | Value | t-statistic |
|---|---|---|
m window Rolling window length | 41 | |
α ARCH Response to squared shocks | 0.1953 | 0.37 |
β GARCH Volatility persistence | 0.6564 | 23.89*** |
γ leverage Additional response to negative shocks | -0.1953 | -0.18 |
λ₁ tau intercept Baseline long-term coefficient | 10.0000 | 0.16 |
λ₂ forecast adj. Forecast performance sensitivity | 0.0895 | 0.48 |
λ₃ tau persistence Long-term factor persistence | 0.9103 | 13.80*** |
Persistence:
0.754
Half-life:
2 days
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