V-Lab: WAM Active Ltd Spline ILLIQ Liquidity Analysis

V-Lab

WAM Active Ltd Spline ILLIQ Liquidity Analysis

Liquidity Prediction for Thursday, May 8th, 2025:97,890.38 (-19,768.32)

Analysis last updated: Thursday, May 8, 2025 at 09:33 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	1.2851	6.36
$α$	0.2175	4.45
$β$	0.3648	4.26
$γ_{1}$	-0.5583	-1.42
$γ_{2}$	0.5317	0.88
$γ_{3}$	0.8035	1.94
$γ_{4}$	-1.3705	-3.69
$γ_{5}$	0.9100	2.50
$γ_{6}$	-0.5111	-1.40
$γ_{7}$	0.0122	0.04
$γ_{8}$	0.8484	2.68
$γ_{9}$	-0.2004	-0.31
$γ_{10}$	-4.0751	-2.15

Estimation Period:
Jan 11, 2008 to May 2, 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