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	0.5757	4.28***
α ARCH Response to squared shocks	0.1563	23.22***
β GARCH Volatility persistence	0.8305	149.37***

γ₁	0.0006	0.12
γ₂	0.0117	1.41

V-Lab

BB Biotech AG Spline ILLIQ Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other BB Biotech AG Analyses