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	3.79***
α ARCH Response to squared shocks	0.1511	5.12***
β GARCH Volatility persistence	0.7807	20.50***

γ₁	-1.1029	-1.99**
γ₂	0.6095	0.72
γ₃	1.4015	2.87***
γ₄	-1.5286	-4.35***
γ₅	1.1465	3.90***
γ₆	-0.8302	-3.57***
γ₇	0.5731	2.49**
γ₈	-0.4818	-1.88*
γ₉	0.3072	1.11
γ₁₀	-0.2324	-0.61

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