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	0.1463	3.35***
β GARCH Volatility persistence	0.7865	99.73***
γ leverage Additional response to negative shocks	-0.1463	-1.41
λ₁ tau intercept Baseline long-term coefficient	10.0000	6.38***
λ₂ forecast adj. Forecast performance sensitivity	0.0027	2.09**
λ₃ tau persistence Long-term factor persistence	0.9931	1,480.03***

V-Lab

BioPharma Credit PLC ILLIQ-MFMEM Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other BioPharma Credit PLC Analyses