How illiquidity evolves over time

{name} Model Equation

How returns affect tomorrow's illiquidity

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Parameter	Value	t-statistic
m window Rolling window length	41
α ARCH Response to squared shocks	0.1954	0.37
β GARCH Volatility persistence	0.6568	23.91***
γ leverage Additional response to negative shocks	-0.1954	-0.18
λ₁ tau intercept Baseline long-term coefficient	10.0000	0.16
λ₂ forecast adj. Forecast performance sensitivity	0.0896	0.49
λ₃ tau persistence Long-term factor persistence	0.9102	13.79***

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Partners Group Private Equity Ltd ILLIQ-MFMEM Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other Partners Group Private Equity Ltd Analyses