V-Lab: 3M Co Spline ILLIQ Liquidity Analysis

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V-Lab

3M Co Spline ILLIQ Liquidity Analysis

Liquidity Prediction for Monday, April 29th, 2024:23.24 (-0.49)

Analysis last updated: Friday, April 26, 2024 at 10:25 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	1.0303	6.64
$α$	0.0391	11.75
$β$	0.9597	285.71
$γ_{1}$	-0.0013	-1.06

Estimation Period:
Jan 2, 1990 to Apr 26, 2024

News Impact Curve

Impact of return on liquidity tomorrow

Liquidity Forecasts

Liquidity Forecasts