V-Lab: WAM Active Ltd Spline ILLIQ Liquidity Analysis

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WAM Active Ltd Spline ILLIQ Liquidity Analysis

Liquidity Prediction for Monday, October 13th, 2025:184,406.80 (-38,748.30)

Analysis last updated: Saturday, October 11, 2025 at 08:32 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	1.4820	5.10
$α$	0.1423	5.44
$β$	0.7917	22.24
$γ_{1}$	-0.6898	-2.07
$γ_{2}$	1.3047	2.48
$γ_{3}$	-0.7908	-2.28
$γ_{4}$	0.3227	1.06
$γ_{5}$	-0.5583	-1.59
$γ_{6}$	0.9350	2.72
$γ_{7}$	-0.0371	-0.07
$γ_{8}$	-4.2341	-2.37

Estimation Period:
Jan 11, 2008 to Oct 10, 2025

News Impact Curve

Impact of return on liquidity tomorrow

Liquidity Forecasts

Liquidity Forecasts

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Asymmetric ILLIQ
Historical ILLIQ
ILLIQ-MFMEM