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V-Lab

BioPharma Credit PLC Spline ILLIQ Liquidity Analysis

Liquidity prediction for Wednesday, July 15th, 2026

1 Day

4,842.93

decreased by 163.63

1 Week

4,871.32

decreased by 135.24

1 Month

4,154.86

decreased by 851.70

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-SMEM

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

This model fits a time-varying baseline (a spline), so illiquidity mean-reverts toward a slowly-shifting long-run level rather than a constant. Short-run deviations decay with a half-life of 7 trading days.

μ

ILLIQ-SMEM Model

Tap to view equation

ParameterValuet-statistic
ω

const

Unconditional variance weight

1.0012
2.91***
α

ARCH

Response to squared shocks

0.1356
4.50***
β

GARCH

Volatility persistence

0.7649
13.76***
γi Spline Coefficients
K=8
γ1-3.9930
-3.62***
γ25.7927
3.83***
γ3-2.5248
-3.38***
γ41.3539
2.29**
γ5-0.9048
-1.64
γ60.8935
1.41
γ7-1.3089
-1.80*
γ80.5763
0.70

Persistence:

0.900

Half-life:

7 days