V-Lab: Development Invt Constr Spline ILLIQ Liquidity Analysis

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Development Invt Constr Spline ILLIQ Liquidity Analysis

Liquidity Prediction for Monday, December 15th, 2025:754.06 (586.50)

Analysis last updated: Sunday, December 14, 2025 at 06:14 AM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	1.1750	3.31
$α$	0.1778	6.04
$β$	0.8190	28.74
$γ_{1}$	-4.9066	-1.71
$γ_{2}$	9.2810	2.45
$γ_{3}$	-6.8839	-3.27
$γ_{4}$	2.2528	1.20
$γ_{5}$	2.0692	1.14
$γ_{6}$	-7.0175	-3.82
$γ_{7}$	9.1684	4.32
$γ_{8}$	-2.0235	-0.48
$γ_{9}$	-3.4070	-0.68
$γ_{10}$	-1.4841	-0.30

Estimation Period:
Aug 10, 2011 to Dec 12, 2025

News Impact Curve

Impact of return on liquidity tomorrow

Liquidity Forecasts

Liquidity Forecasts

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Asymmetric ILLIQ
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