V-Lab: Development Invt Constr Spline ILLIQ Liquidity Analysis

V-Lab

Development Invt Constr Spline ILLIQ Liquidity Analysis

Liquidity Prediction for Monday, May 19th, 2025:1,279.81 (469.41)

Analysis last updated: Sunday, May 18, 2025 at 05:11 AM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	1.3021	3.23
$α$	0.1976	6.26
$β$	0.7995	25.71
$γ_{1}$	-3.9015	-1.45
$γ_{2}$	7.6495	2.15
$γ_{3}$	-6.3179	-3.38
$γ_{4}$	2.9185	1.66
$γ_{5}$	0.7424	0.41
$γ_{6}$	-7.9479	-3.77
$γ_{7}$	15.9210	6.55
$γ_{8}$	-10.2868	-4.03
$γ_{9}$	-1.7767	-0.55

Estimation Period:
Aug 10, 2011 to May 16, 2025

News Impact Curve

Impact of return on liquidity tomorrow

Liquidity Forecasts

Liquidity Forecasts

Other Development Invt Constr Analyses
Asymmetric ILLIQ
Historical ILLIQ
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