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	5.0000	3.96***
α ARCH Response to squared shocks	0.0606	21.83***
β GARCH Volatility persistence	0.9115	648.27***
γ leverage Additional response to negative shocks	0.0559	11.35***

V-Lab

BB Biotech AG Asymmetric ILLIQ Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

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