V-Lab: Barclays Plc Spline ILLIQ Liquidity Analysis

V-Lab

Barclays Plc Spline ILLIQ Liquidity Analysis

Liquidity Prediction for Monday, June 30th, 2025:23,384.68 (4,204.45)

Analysis last updated: Sunday, June 29, 2025 at 04:22 AM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	37.0051	3.32
$α$	0.2467	6.65
$β$	0.7448	21.82
$γ_{1}$	0.1357	0.31
$γ_{2}$	0.1938	0.26
$γ_{3}$	0.0283	0.05
$γ_{4}$	-3.6284	-2.76
$γ_{5}$	9.2923	3.01
$γ_{6}$	-9.9381	-3.24
$γ_{7}$	4.8260	3.73
$γ_{8}$	-1.4813	-2.69

Estimation Period:
Feb 26, 2001 to Jun 27, 2025

News Impact Curve

Impact of return on liquidity tomorrow

Liquidity Forecasts

Liquidity Forecasts

Other Barclays Plc Analyses
Asymmetric ILLIQ
Historical ILLIQ
ILLIQ-MFMEM