V-Lab: WAM Active Ltd Spline ILLIQ Liquidity Analysis

V-Lab

WAM Active Ltd Spline ILLIQ Liquidity Analysis

Liquidity Prediction for Monday, June 30th, 2025:153,052.60 (108,284.95)

Analysis last updated: Sunday, June 29, 2025 at 02:41 AM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	1.3801	6.58
$α$	0.2498	4.88
$β$	0.3441	4.26
$γ_{1}$	-0.5100	-1.82
$γ_{2}$	0.7368	1.71
$γ_{3}$	0.1732	0.61
$γ_{4}$	-0.8244	-3.47
$γ_{5}$	0.7473	2.88
$γ_{6}$	-0.8105	-2.93
$γ_{7}$	1.1325	3.70
$γ_{8}$	-0.2036	-0.39
$γ_{9}$	-3.6610	-2.46

Estimation Period:
Jan 11, 2008 to Jun 27, 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