V-Lab: ACAS LLC ILLIQ-MFMEM Liquidity Analysis

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V-Lab

ACAS LLC ILLIQ-MFMEM Liquidity Analysis

Liquidity Prediction for Wednesday, January 4th, 2017:104.86 (-10.46)

Analysis last updated: Wednesday, June 7, 2023 at 02:13 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$m$	76
$α$	0.1146	3.41
$β$	0.8591	412.83
$γ$	-0.1146	-1.55
$λ_{1}$	1.2650	23.57
$λ_{2}$	0.1259	140.19
$λ_{3}$	0.8609	20.62

Estimation Period:
Sep 2, 1997 to Jan 3, 2017

News Impact Curve

Impact of return on liquidity tomorrow

Liquidity Forecasts

Liquidity Forecasts