V-Lab: Development Invt Constr Spline ILLIQ Liquidity Analysis

V-Lab

Development Invt Constr Spline ILLIQ Liquidity Analysis

Liquidity Prediction for Thursday, May 8th, 2025:1,253.73 (-127.18)

Analysis last updated: Friday, May 9, 2025 at 12:22 AM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	1.2831	3.22
$α$	0.1953	6.22
$β$	0.8016	25.98
$γ_{1}$	-3.9642	-1.47
$γ_{2}$	7.7628	2.17
$γ_{3}$	-6.3638	-3.37
$γ_{4}$	2.8538	1.60
$γ_{5}$	0.9023	0.50
$γ_{6}$	-7.9772	-3.89
$γ_{7}$	15.5151	6.68
$γ_{8}$	-9.8041	-3.81
$γ_{9}$	-1.4260	-0.41

Estimation Period:
Aug 10, 2011 to Apr 29, 2025

News Impact Curve

Impact of return on liquidity tomorrow

Liquidity Forecasts

Liquidity Forecasts

Other Development Invt Constr Analyses
Asymmetric ILLIQ
Historical ILLIQ
ILLIQ-MFMEM