V-Lab: Carillion PLC Spline ILLIQ Liquidity Analysis

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V-Lab

Carillion PLC Spline ILLIQ Liquidity Analysis

Liquidity Prediction for Thursday, May 17th, 2018:1630.14 (1373.84)

Analysis last updated: Saturday, August 10, 2019 at 02:50 AM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	1.0548	5.14
$α$	0.0619	7.15
$β$	0.9301	74.50
$γ_{1}$	-0.2791	-2.01
$γ_{2}$	0.2126	1.00
$γ_{3}$	0.2203	1.71
$γ_{4}$	-0.2131	-1.90
$γ_{5}$	0.0230	0.18
$γ_{6}$	0.2923	1.47

Estimation Period:
Jul 29, 1999 to Jan 12, 2018

News Impact Curve

Impact of return on liquidity tomorrow

Liquidity Forecasts

Liquidity Forecasts

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Asymmetric ILLIQ
Historical ILLIQ
ILLIQ-MFMEM