V-Lab: ICADE Spline ILLIQ Liquidity Analysis

V-Lab

ICADE Spline ILLIQ Liquidity Analysis

Liquidity Prediction for Monday, May 19th, 2025:4,105.58 (329.38)

Analysis last updated: Saturday, May 17, 2025 at 10:51 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	1.5551	3.77
$α$	0.1233	13.98
$β$	0.8532	83.67
$γ_{1}$	-0.7613	-9.69
$γ_{2}$	1.1543	9.63
$γ_{3}$	-0.3702	-4.39
$γ_{4}$	-0.0751	-1.20
$γ_{5}$	0.1252	2.27
$γ_{6}$	-0.0681	-1.12
$γ_{7}$	-0.0531	-0.63

Estimation Period:
Jul 5, 1991 to May 16, 2025

News Impact Curve

Impact of return on liquidity tomorrow

Liquidity Forecasts

Liquidity Forecasts