V-Lab: Lake Sunapee Bank Group Spline ILLIQ Liquidity Analysis

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V-Lab

Lake Sunapee Bank Group Spline ILLIQ Liquidity Analysis

Liquidity Prediction for Tuesday, January 17th, 2017:83186.90 (-5736.99)

Analysis last updated: Friday, January 13, 2017 at 11:55 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	4.4171	6.34
$α$	0.1153	6.87
$β$	0.8034	30.63
$γ_{1}$	-0.0449	-0.82
$γ_{2}$	0.2050	2.43
$γ_{3}$	-0.2285	-3.34
$γ_{4}$	0.1027	1.48
$γ_{5}$	-0.0761	-1.18
$γ_{6}$	0.0300	0.47
$γ_{7}$	-0.0460	-0.57

Estimation Period:
Jan 1, 1990 to Jan 13, 2017

News Impact Curve

Impact of return on liquidity tomorrow

Liquidity Forecasts

Liquidity Forecasts