How illiquidity evolves over time

{name} Model Equation

How returns affect tomorrow's illiquidity

Spline Coefficients

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Parameter	Value	t-statistic
ω const Unconditional variance weight	1.0268	2.96***
α ARCH Response to squared shocks	0.1363	4.48***
β GARCH Volatility persistence	0.7598	13.39***

γ₁	-3.8755	-3.62***
γ₂	5.6572	3.84***
γ₃	-2.5226	-3.49***
γ₄	1.3964	2.48**
γ₅	-0.9575	-1.84*
γ₆	0.9415	1.56
γ₇	-1.3993	-1.95*
γ₈	0.6182	0.76

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BioPharma Credit PLC Spline ILLIQ Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

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