V-Lab: Development Invt Constr Spline ILLIQ Liquidity Analysis

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Development Invt Constr Spline ILLIQ Liquidity Analysis

Liquidity Prediction for Friday, November 7th, 2025:286.50 (-58.35)

Analysis last updated: Saturday, November 8, 2025 at 01:02 AM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	1.0634	0.50
$α$	0.1823	0.05
$β$	0.8177	0.22
$γ_{1}$	1.8126	0.01
$γ_{2}$	-3.1090	-0.01
$γ_{3}$	0.3058	0.02
$γ_{4}$	2.3154	0.40
$γ_{5}$	-5.4169	-1.10
$γ_{6}$	8.8193	0.68
$γ_{7}$	-4.7501	-0.29
$γ_{8}$	-4.0595	-0.32

Estimation Period:
Aug 10, 2011 to Oct 31, 2025

News Impact Curve

Impact of return on liquidity tomorrow

Liquidity Forecasts

Liquidity Forecasts

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Asymmetric ILLIQ
Historical ILLIQ
ILLIQ-MFMEM