V-Lab: Development Invt Constr Spline ILLIQ Liquidity Analysis

V-Lab

Development Invt Constr Spline ILLIQ Liquidity Analysis

Liquidity Prediction for Tuesday, April 15th, 2025:5881.09 (-1150.48)

Analysis last updated: Wednesday, April 16, 2025 at 01:47 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	1.2548	3.22
$α$	0.1924	6.15
$β$	0.8045	26.14
$γ_{1}$	-4.1298	-1.52
$γ_{2}$	8.0330	2.23
$γ_{3}$	-6.4618	-3.36
$γ_{4}$	2.7360	1.52
$γ_{5}$	1.1907	0.66
$γ_{6}$	-7.9699	-4.05
$γ_{7}$	14.6027	6.83
$γ_{8}$	-8.7048	-3.49
$γ_{9}$	-1.1394	-0.34

Estimation Period:
Aug 10, 2011 to Apr 11, 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