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BioPharma Credit PLC 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 Wednesday, July 15th, 2026

1 Day

4,778.98

increased by 17.80

1 Week

4,565.87

decreased by 195.31

1 Month

3,817.74

decreased by 943.44

Analysis last updated: Wednesday, July 15, 2026 at 08:53 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

All

graph of BioPharma Credit PLC ILLIQ-AMEM

News Impact Curve

How returns affect tomorrow's liquidity

Liquidity Forecast

How liquidity evolves over time

Parameter Estimates

Mar 24, 2017 to Jul 10, 2026

Model 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.

μ

ILLIQ-AMEM Model

Tap to view equation

ParameterValuet-statistic
ω

const

Unconditional variance weight

5.0000
0.79
α

ARCH

Response to squared shocks

0.0667
13.30***
β

GARCH

Volatility persistence

0.9249
329.38***
γ

leverage

Additional response to negative shocks

0.0168
1.27

Persistence:

1.000

Half-life:

1386294 days