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	0.9072	7.27***
α ARCH Response to squared shocks	0.1195	7.40***
β GARCH Volatility persistence	0.8804	54.95***

γ₁	-0.1883	-0.61
γ₂	0.2469	0.67

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Bicycle Therapeutics PLC Spline ILLIQ Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other Bicycle Therapeutics PLC Analyses