V-Lab: WAM Active Ltd Spline ILLIQ Liquidity Analysis

V-Lab

WAM Active Ltd Spline ILLIQ Liquidity Analysis

Liquidity Prediction for Wednesday, June 18th, 2025:46,029.79 (16.98)

Analysis last updated: Wednesday, June 18, 2025 at 09:05 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	1.3271	6.35
$α$	0.2404	4.78
$β$	0.3478	4.31
$γ_{1}$	-0.5174	-1.33
$γ_{2}$	0.4844	0.81
$γ_{3}$	0.8103	1.98
$γ_{4}$	-1.3875	-3.80
$γ_{5}$	0.9551	2.62
$γ_{6}$	-0.5833	-1.55
$γ_{7}$	0.0886	0.27
$γ_{8}$	0.9051	2.95
$γ_{9}$	-0.5246	-1.14
$γ_{10}$	-3.8566	-2.20

Estimation Period:
Jan 11, 2008 to Jun 13, 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