BB Biotech AG Asymmetric ILLIQ Liquidity Analysis
High-persistence model: shocks decay very slowly, so the theoretical long-run value may not be practically meaningful
Liquidity prediction for Tuesday, July 14th, 2026
1 Day
4,117.85
1 Week
3,892.45
1 Month
3,760.52
Analysis last updated: Tuesday, July 14, 2026 at 08:40 PM UTC
News Impact Curve
How returns affect tomorrow's liquidityLiquidity Forecast
How liquidity evolves over timeParameter Estimates
Nov 15, 1993 to Jul 10, 2026Model Insight
With persistence 1.000, illiquidity shocks have a half-life of 1386294 trading days (~5501.2 years), close to a unit root, so long-run forecasts are highly sensitive to this estimate.
Asymmetry: Illiquidity rises 92% more after negative returns
ILLIQ-AMEM Model
Tap to view equation
| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 5.0000 | 3.95*** |
α ARCH Response to squared shocks | 0.0606 | 21.81*** |
β GARCH Volatility persistence | 0.9114 | 646.87*** |
γ leverage Additional response to negative shocks | 0.0560 | 11.35*** |
Persistence:
1.000
Half-life:
1386294 days
Other BB Biotech AG Analyses
Other Asymmetric ILLIQ Analyses on Closed-end Funds