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	0.4501	14.15***
β GARCH Volatility persistence	0.6759	77.22***
γ leverage Additional response to negative shocks	-0.2897	-5.82***
λ₁ tau intercept Baseline long-term coefficient	2,300.5730

V-Lab

Oculis Holding AG ILLIQ-MFMEM Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other Oculis Holding AG Analyses