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	0.8085	3.82***
α ARCH Response to squared shocks	0.1505	5.12***
β GARCH Volatility persistence	0.7822	20.62***

γ₁	-1.1114	-2.04**
γ₂	0.6387	0.77
γ₃	1.3624	2.81***
γ₄	-1.4980	-4.28***
γ₅	1.1250	3.82***
γ₆	-0.8122	-3.50***
γ₇	0.5546	2.46**
γ₈	-0.4655	-1.85*
γ₉	0.2888	1.04
γ₁₀	-0.1664	-0.43

V-Lab

Partners Group Private Equity Ltd Spline ILLIQ Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other Partners Group Private Equity Ltd Analyses