V-Lab: Mesabi Trust Spline ILLIQ Liquidity Analysis

V-Lab

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V-Lab

Mesabi Trust Spline ILLIQ Liquidity Analysis

Liquidity Prediction for Monday, May 20th, 2024:32946.35 (-2031.32)

Analysis last updated: Friday, May 17, 2024 at 10:41 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	2.7338	4.95
$α$	0.1129	8.15
$β$	0.8758	55.63
$γ_{1}$	-0.1779	-3.16
$γ_{2}$	0.2662	2.80
$γ_{3}$	-0.2053	-2.53
$γ_{4}$	0.1641	2.18
$γ_{5}$	0.0448	0.65
$γ_{6}$	-0.1202	-1.91
$γ_{7}$	0.0049	0.10
$γ_{8}$	0.1075	1.65

Estimation Period:
Jan 1, 1990 to May 17, 2024

News Impact Curve

Impact of return on liquidity tomorrow

Liquidity Forecasts

Liquidity Forecasts

Other Mesabi Trust Analyses
Asymmetric ILLIQ
Historical ILLIQ
ILLIQ-MFMEM