How illiquidity evolves over time

{name} Model Equation

How returns affect tomorrow's illiquidity

Spline Coefficients

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Parameter	Value	t-statistic
α ARCH Response to squared shocks	0.2015	38.40***
β GARCH Volatility persistence	0.8073	172.71***
γ leverage Additional response to negative shocks	-0.0475	-8.18***
λ₁ tau intercept Baseline long-term coefficient	1,713,390.6448

V-Lab

Barinthus Biotherapeutics PLC ILLIQ-MFMEM Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other Barinthus Biotherapeutics PLC Analyses