V-Lab: Froey AS Asymmetric ILLIQ Liquidity Analysis

V-Lab

Froey AS Asymmetric ILLIQ Liquidity Analysis

Liquidity Prediction for Thursday, August 17th, 2023:4,772.99 (3,860.52)

Analysis last updated: Friday, August 18, 2023 at 03:25 AM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

Parameter Estimates

	param	t-stat
$ω$	5.0000	0.31
$α$	0.1274	10.20
$β$	0.8310	110.01
$γ$	0.0831	2.78

Estimation Period:
Mar 29, 2021 to Aug 11, 2023

News Impact Curve

Impact of return on liquidity tomorrow

Liquidity Forecasts

Liquidity Forecasts

Other Froey AS Analyses
Spline ILLIQ
Historical ILLIQ
ILLIQ-MFMEM