V-Lab: Froy Asa Spline ILLIQ Liquidity Analysis

V-Lab

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V-Lab

Froy Asa Spline ILLIQ Liquidity Analysis

Liquidity Prediction for Thursday, August 17th, 2023:5393.59 (4681.25)

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

Date Range:

from

to

6M ·

1Y ·

2Y ·

Parameter Estimates

	param	t-stat
$ω$	0.8389	4.83
$α$	0.2544	6.17
$β$	0.6998	11.52
$γ_{1}$	-1.5458	-4.94

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

News Impact Curve

Impact of return on liquidity tomorrow

Liquidity Forecasts

Liquidity Forecasts