V-Lab: RIB Software SE Spline ILLIQ Liquidity Analysis

V-Lab

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V-Lab

RIB Software SE Spline ILLIQ Liquidity Analysis

Liquidity Prediction for Wednesday, December 15th, 2021:182291.90 (727.70)

Analysis last updated: Wednesday, July 20, 2022 at 06:38 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	0.9988	5.72
$α$	0.1094	4.84
$β$	0.7689	14.56
$γ_{1}$	0.8435	1.24
$γ_{2}$	-1.6707	-1.59
$γ_{3}$	0.7795	1.03
$γ_{4}$	-0.2628	-0.38
$γ_{5}$	1.6122	2.37
$γ_{6}$	-2.8718	-3.68
$γ_{7}$	2.8184	3.67
$γ_{8}$	-1.9557	-2.96
$γ_{9}$	1.2335	1.83
$γ_{10}$	-1.9533	-2.12

Estimation Period:
Nov 12, 2009 to Sep 24, 2021

News Impact Curve

Impact of return on liquidity tomorrow

Liquidity Forecasts

Liquidity Forecasts

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