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	0.6313	6.59***
α ARCH Response to squared shocks	0.1503	22.58***
β GARCH Volatility persistence	0.8229	126.06***

γ₁	0.0614	4.82***
γ₂	-0.1129	-5.56***
γ₃	0.1096	6.73***
γ₄	-0.1041	-5.34***

V-Lab

BB Biotech AG Spline ILLIQ Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other BB Biotech AG Analyses