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
News Impact Curve
How returns affect tomorrow's liquidityLiquidity Forecast
How liquidity evolves over timeParameter Estimates
Mar 24, 2017 to Jul 10, 2026Model 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
| Parameter | Value | t-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*** |
Spline Coefficients
K=8
| γ1 | -3.9930 | -3.62*** |
| γ2 | 5.7927 | 3.83*** |
| γ3 | -2.5248 | -3.38*** |
| γ4 | 1.3539 | 2.29** |
| γ5 | -0.9048 | -1.64 |
| γ6 | 0.8935 | 1.41 |
| γ7 | -1.3089 | -1.80* |
| γ8 | 0.5763 | 0.70 |
Persistence:
0.900
Half-life:
7 days
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