V-Lab: Development Invt Constr Spline ILLIQ Liquidity Analysis

V-Lab

Development Invt Constr Spline ILLIQ Liquidity Analysis

Liquidity Prediction for Friday, May 30th, 2025:1,421.59 (-128.37)

Analysis last updated: Friday, May 30, 2025 at 11:52 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	1.2992	3.22
$α$	0.1974	6.26
$β$	0.7996	25.77
$γ_{1}$	-3.8862	-1.45
$γ_{2}$	7.6297	2.15
$γ_{3}$	-6.3109	-3.37
$γ_{4}$	2.9143	1.65
$γ_{5}$	0.7468	0.42
$γ_{6}$	-7.9575	-3.78
$γ_{7}$	15.9803	6.59
$γ_{8}$	-10.4776	-4.18
$γ_{9}$	-1.2775	-0.41

Estimation Period:
Aug 10, 2011 to May 23, 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