V-Lab: Greencross Ltd Spline ILLIQ Liquidity Analysis

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V-Lab

Greencross Ltd Spline ILLIQ Liquidity Analysis

Liquidity Prediction for Tuesday, February 12th, 2019:1753.23 (-33.37)

Analysis last updated: Monday, February 11, 2019 at 06:20 AM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	1.3196	4.05
$α$	0.0448	5.10
$β$	0.9407	76.97
$γ_{1}$	-0.1897	-0.66
$γ_{2}$	-0.3212	-0.72
$γ_{3}$	0.8089	2.71
$γ_{4}$	0.0525	0.21
$γ_{5}$	-0.7539	-3.26

Estimation Period:
Jun 18, 2007 to Feb 8, 2019

News Impact Curve

Impact of return on liquidity tomorrow

Liquidity Forecasts

Liquidity Forecasts

Other Greencross Ltd Analyses
Asymmetric ILLIQ
Historical ILLIQ
ILLIQ-MFMEM