V-Lab: Development Invt Constr Spline ILLIQ Liquidity Analysis

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Development Invt Constr Spline ILLIQ Liquidity Analysis

Liquidity Prediction for Tuesday, October 14th, 2025:79.43 (17.33)

Analysis last updated: Tuesday, October 14, 2025 at 11:59 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	1.0699	1.02
$α$	0.1763	0.10
$β$	0.8237	0.48
$γ_{1}$	1.7377	0.02
$γ_{2}$	-2.9084	-0.03
$γ_{3}$	0.1264	0.01
$γ_{4}$	2.3660	0.69
$γ_{5}$	-5.2259	-2.46
$γ_{6}$	8.1008	1.37
$γ_{7}$	-3.5872	-0.37
$γ_{8}$	-5.2001	-0.46

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

News Impact Curve

Impact of return on liquidity tomorrow

Liquidity Forecasts

Liquidity Forecasts

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Asymmetric ILLIQ
Historical ILLIQ
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