V-Lab: WAM Active Ltd Spline ILLIQ Liquidity Analysis

V-Lab

WAM Active Ltd Spline ILLIQ Liquidity Analysis

Liquidity Prediction for Monday, June 2nd, 2025:52,470.74 (-20,823.15)

Analysis last updated: Saturday, May 31, 2025 at 09:04 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	1.3730	6.44
$α$	0.2487	4.66
$β$	0.3279	4.00
$γ_{1}$	-0.4520	-1.15
$γ_{2}$	0.3897	0.64
$γ_{3}$	0.8544	2.08
$γ_{4}$	-1.4036	-3.82
$γ_{5}$	0.9499	2.60
$γ_{6}$	-0.5650	-1.52
$γ_{7}$	0.0675	0.21
$γ_{8}$	0.8799	2.91
$γ_{9}$	-0.4007	-0.76
$γ_{10}$	-3.9391	-2.16

Estimation Period:
Jan 11, 2008 to May 30, 2025

News Impact Curve

Impact of return on liquidity tomorrow

Liquidity Forecasts

Liquidity Forecasts

Other WAM Active Ltd Analyses
Asymmetric ILLIQ
Historical ILLIQ
ILLIQ-MFMEM