V-Lab: Klepierre Spline ILLIQ Liquidity Analysis

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V-Lab

Klepierre Spline ILLIQ Liquidity Analysis

Liquidity Prediction for Friday, May 10th, 2024:468.67 (-17.54)

Analysis last updated: Saturday, May 11, 2024 at 03:05 AM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	1.7115	3.79
$α$	0.0545	7.61
$β$	0.9404	111.84
$γ_{1}$	-0.0688	-4.53
$γ_{2}$	0.0973	3.91
$γ_{3}$	-0.0206	-0.87
$γ_{4}$	-0.0030	-0.12

Estimation Period:
Jun 28, 1991 to May 3, 2024

News Impact Curve

Impact of return on liquidity tomorrow

Liquidity Forecasts

Liquidity Forecasts