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	2.2434	1.69*
α ARCH Response to squared shocks	0.3116	5.01***
β GARCH Volatility persistence	0.6724	12.94***

γ₁	0.4145	0.55
γ₂	-2.7067	-2.56**
γ₃	4.1567	6.84***
γ₄	-1.4058	-2.96***
γ₅	-2.1936	-2.77***
γ₆	3.6205	2.90***
γ₇	-2.7978	-2.60***
γ₈	1.6727	2.63***

V-Lab

Medicamen Biotech Ltd Spline ILLIQ Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other Medicamen Biotech Ltd Analyses