V-Lab: Warehouses De Pauw CVA Spline ILLIQ Liquidity Analysis

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V-Lab

Warehouses De Pauw CVA Spline ILLIQ Liquidity Analysis

Liquidity Prediction for Friday, May 10th, 2024:2069.73 (-148.92)

Analysis last updated: Saturday, May 11, 2024 at 12:57 AM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	3.9409	6.66
$α$	0.1037	8.23
$β$	0.8518	35.49
$γ_{1}$	0.0300	4.14
$γ_{2}$	-0.0467	-4.46
$γ_{3}$	0.0443	5.77

Estimation Period:
Jun 25, 1999 to May 3, 2024

News Impact Curve

Impact of return on liquidity tomorrow

Liquidity Forecasts

Liquidity Forecasts