V-Lab: Development Invt Constr Spline ILLIQ Liquidity Analysis

V-Lab

Development Invt Constr Spline ILLIQ Liquidity Analysis

Liquidity Prediction for Monday, September 15th, 2025:97.81 (-10.88)

Analysis last updated: Sunday, September 14, 2025 at 05:21 AM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	0.8140	2.56
$α$	0.1595	5.37
$β$	0.8216	31.25
$γ_{1}$	-4.0773	-2.17
$γ_{2}$	8.4033	2.95
$γ_{3}$	-6.8215	-3.53
$γ_{4}$	2.2781	1.32
$γ_{5}$	1.8456	1.07
$γ_{6}$	-6.2024	-3.56
$γ_{7}$	10.1045	6.99
$γ_{8}$	-9.7238	-3.99
$γ_{9}$	9.5669	3.09
$γ_{10}$	-13.9955	-5.01

Estimation Period:
Aug 10, 2011 to Sep 12, 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