Partners Group Private Equity Ltd Spline ILLIQ Liquidity Analysis
Liquidity prediction for Wednesday, July 15th, 2026
1 Day
28,497.12
decreased by 3,457.69
1 Week
32,487.72
increased by 532.91
1 Month
30,870.71
decreased by 1,084.10
Analysis last updated: Wednesday, July 15, 2026 at 09:09 PM UTC
News Impact Curve
How returns affect tomorrow's liquidityLiquidity Forecast
How liquidity evolves over timeParameter Estimates
Nov 1, 2007 to Jul 10, 2026Model Insight
This model fits a time-varying baseline (a spline), so illiquidity mean-reverts toward a slowly-shifting long-run level rather than a constant. Short-run deviations decay with a half-life of 10 trading days.
μ
ILLIQ-SMEM Model
Tap to view equation
| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 0.8096 | 3.78*** |
α ARCH Response to squared shocks | 0.1502 | 5.11*** |
β GARCH Volatility persistence | 0.7825 | 20.52*** |
Spline Coefficients
K=10
| γ1 | -1.0921 | -1.94* |
| γ2 | 0.5842 | 0.68 |
| γ3 | 1.4272 | 2.90*** |
| γ4 | -1.5472 | -4.37*** |
| γ5 | 1.1593 | 3.91*** |
| γ6 | -0.8376 | -3.57*** |
| γ7 | 0.5724 | 2.45** |
| γ8 | -0.4665 | -1.79* |
| γ9 | 0.2650 | 0.94 |
| γ10 | -0.0941 | -0.24 |
Persistence:
0.933
Half-life:
10 days
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