V-Lab: Sportamore AB Spline ILLIQ Liquidity Analysis

V-Lab

Sportamore AB Spline ILLIQ Liquidity Analysis

Liquidity Prediction for Monday, May 11th, 2020:88,499.22 (-16,158.58)

Analysis last updated: Friday, May 8, 2020 at 07:14 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

Parameter Estimates

	param	t-stat
$ω$	2.8319	4.32
$α$	0.1337	4.82
$β$	0.7974	16.52
$γ_{1}$	0.1129	0.45
$γ_{2}$	-0.4309	-1.11
$γ_{3}$	0.9375	3.44
$γ_{4}$	-1.1889	-4.20

Estimation Period:
Oct 25, 2012 to May 8, 2020

News Impact Curve

Impact of return on liquidity tomorrow

Liquidity Forecasts

Liquidity Forecasts

Other Sportamore AB Analyses
Asymmetric ILLIQ
Historical ILLIQ
ILLIQ-MFMEM