V-Lab: Development Invt Constr Spline ILLIQ Liquidity Analysis

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Development Invt Constr Spline ILLIQ Liquidity Analysis

Liquidity Prediction for Monday, November 17th, 2025:676.22 (-66.16)

Analysis last updated: Sunday, November 16, 2025 at 04:25 AM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	1.0644	0.54
$α$	0.1816	0.05
$β$	0.8184	0.24
$γ_{1}$	1.8018	0.01
$γ_{2}$	-3.0985	-0.02
$γ_{3}$	0.3220	0.02
$γ_{4}$	2.2941	0.46
$γ_{5}$	-5.4955	-1.01
$γ_{6}$	9.1556	0.68
$γ_{7}$	-5.2901	-0.33
$γ_{8}$	-3.6100	-0.33

Estimation Period:
Aug 10, 2011 to Nov 14, 2025

News Impact Curve

Impact of return on liquidity tomorrow

Liquidity Forecasts

Liquidity Forecasts

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Asymmetric ILLIQ
Historical ILLIQ
ILLIQ-MFMEM