V-Lab: Centuria Capital Group Spline ILLIQ Liquidity Analysis

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V-Lab

Centuria Capital Group Spline ILLIQ Liquidity Analysis

Liquidity Prediction for Friday, May 3rd, 2024:11081.66 (-645.99)

Analysis last updated: Saturday, May 4, 2024 at 06:27 AM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	0.7197	5.34
$α$	0.1629	4.67
$β$	0.7396	12.52
$γ_{1}$	-0.4019	-1.79
$γ_{2}$	0.6502	1.51
$γ_{3}$	-0.0669	-0.18
$γ_{4}$	-0.6883	-2.56
$γ_{5}$	0.7339	2.70
$γ_{6}$	-0.1215	-0.31
$γ_{7}$	-0.6678	-1.03
$γ_{8}$	0.8657	1.24
$γ_{9}$	-0.0673	-0.14
$γ_{10}$	-0.2424	-0.75

Estimation Period:
Mar 27, 2002 to Apr 26, 2024

News Impact Curve

Impact of return on liquidity tomorrow

Liquidity Forecasts

Liquidity Forecasts

Other Centuria Capital Group Analyses
Asymmetric ILLIQ
Historical ILLIQ
ILLIQ-MFMEM