How illiquidity evolves over time

{name} Model Equation

How returns affect tomorrow's illiquidity

Spline Coefficients

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Parameter	Value	t-statistic
m window Rolling window length	21
α ARCH Response to squared shocks	0.1436	3.39***
β GARCH Volatility persistence	0.7912	102.88***
γ leverage Additional response to negative shocks	-0.1436	-1.42
λ₁ tau intercept Baseline long-term coefficient	10.0000	6.51***
λ₂ forecast adj. Forecast performance sensitivity	0.0027	2.13**
λ₃ tau persistence Long-term factor persistence	0.9930	1,458.22***

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BioPharma Credit PLC ILLIQ-MFMEM Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other BioPharma Credit PLC Analyses