V-Lab
BB Biotech AG Spline ILLIQ Liquidity Analysis
Illiquidity prediction for Monday, August 24th, 2026
1 Day
19,471.17
decreased by 1,353.62
1 Week
22,244.43
increased by 1,419.64
1 Month
23,276.74
increased by 2,451.95
Analysis last updated: Saturday, August 22, 2026 at 08:14 PM UTC
News Impact Curve
How returns affect tomorrow's illiquidityIlliquidity Forecast
How illiquidity evolves over timeParameter Estimates
Jun 16, 2000 to Aug 21, 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 26 trading days.
μ
ILLIQ-SMEM Model
Tap to view equation
| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 0.6313 | 6.59*** |
α ARCH Response to squared shocks | 0.1503 | 22.58*** |
β GARCH Volatility persistence | 0.8229 | 126.06*** |
Spline Coefficients
K=4
| γ1 | 0.0614 | 4.82*** |
| γ2 | -0.1129 | -5.56*** |
| γ3 | 0.1096 | 6.73*** |
| γ4 | -0.1041 | -5.34*** |
Persistence:
0.973
Half-life:
26 days
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