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	0.4635	2.27**
α ARCH Response to squared shocks	0.2754	5.62***
β GARCH Volatility persistence	0.6394	11.36***

γ₁	-38.7825	-2.64***
γ₂	55.9932	2.37**
γ₃	-30.5230	-1.87*
γ₄	30.3945	1.96*
γ₅	-28.9374	-2.32**
γ₆	14.8102	2.06**
γ₇	-2.7616	-0.50
γ₈	0.1823	0.03
γ₉	-5.3589	-1.06
γ₁₀	17.5037	2.87***

V-Lab

Oculis Holding AG Spline ILLIQ Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other Oculis Holding AG Analyses