V-Lab: Global Communication Spline ILLIQ Liquidity Analysis

V-Lab

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V-Lab

Global Communication Spline ILLIQ Liquidity Analysis

Liquidity Prediction for Friday, May 17th, 2024:4010.21 (440.86)

Analysis last updated: Saturday, May 18, 2024 at 01:16 AM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

Parameter Estimates

	param	t-stat
$ω$	0.7404	5.06
$α$	0.1989	6.91
$β$	0.7984	27.41
$γ_{1}$	-1.2409	-2.57

Estimation Period:
Sep 28, 2021 to May 10, 2024

News Impact Curve

Impact of return on liquidity tomorrow

Liquidity Forecasts

Liquidity Forecasts

Other Global Communication Analyses
Asymmetric ILLIQ
Historical ILLIQ
ILLIQ-MFMEM