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	0.2391	1.10
α ARCH Response to squared shocks	0.3308	1.48
β GARCH Volatility persistence	0.6111	4.75***

γ₁	-69.3629	-2.96***
γ₂	109.4984	3.39***
γ₃	-61.0703	-4.74***
γ₄	32.8281	4.03***
γ₅	-9.6339	-0.78

V-Lab

Oculis Holding AG Spline ILLIQ Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other Oculis Holding AG Analyses