V-Lab: SigmaRoc PLC Spline ILLIQ Liquidity Analysis

V-Lab

SigmaRoc PLC Spline ILLIQ Liquidity Analysis

Liquidity Prediction for Monday, June 16th, 2025:5,052.67 (1,476.54)

Analysis last updated: Sunday, June 15, 2025 at 04:22 AM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	0.2974	0.98
$α$	0.0874	4.30
$β$	0.9023	48.34
$γ_{1}$	-6.4498	-3.23
$γ_{2}$	8.5763	2.66
$γ_{3}$	-3.1572	-1.15
$γ_{4}$	1.0370	0.35
$γ_{5}$	0.3256	0.16
$γ_{6}$	-0.6878	-0.64
$γ_{7}$	1.1951	1.03
$γ_{8}$	-1.2275	-0.89
$γ_{9}$	-0.0045	-0.00
$γ_{10}$	0.9893	0.60

Estimation Period:
Jan 5, 2007 to Jun 13, 2025

News Impact Curve

Impact of return on liquidity tomorrow

Liquidity Forecasts

Liquidity Forecasts

Other SigmaRoc PLC Analyses
Asymmetric ILLIQ
Historical ILLIQ
ILLIQ-MFMEM