BB Biotech AG Spline ILLIQ Liquidity Analysis
Liquidity prediction for Tuesday, July 14th, 2026
1 Day
4,227.38
decreased by 303.14
1 Week
4,201.55
decreased by 328.97
1 Month
4,001.90
decreased by 528.62
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 0.995, illiquidity shocks have a half-life of 144 trading days (~0.6 years), close to a unit root, so long-run forecasts are highly sensitive to this estimate.
μ
ILLIQ-SMEM Model
Tap to view equation
| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 1.9793 | 6.96*** |
α ARCH Response to squared shocks | 0.1047 | 13.09*** |
β GARCH Volatility persistence | 0.8905 | 94.24*** |
Spline Coefficients
K=1
| γ1 | -0.0001 | -0.04 |
Persistence:
0.995
Half-life:
144 days
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