V-Lab: Dacheng CSI 500 SZE Stocks Index ETF Spline ILLIQ Liquidity Analysis

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V-Lab

Dacheng CSI 500 SZE Stocks Index ETF Spline ILLIQ Liquidity Analysis

Liquidity Prediction for Monday, November 14th, 2022:3564571.00 (-99835.00)

Analysis last updated: Friday, November 11, 2022 at 02:44 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

Parameter Estimates

	param	t-stat
$ω$	0.1020	4.29
$α$	0.2859	3.16
$β$	0.0000	0.00
$γ_{1}$	-12.0254	-6.37
$γ_{2}$	15.0756	4.32
$γ_{3}$	-1.4322	-0.44
$γ_{4}$	-3.9778	-1.83
$γ_{5}$	4.3666	2.74
$γ_{6}$	-4.6988	-1.78
$γ_{7}$	2.4190	0.59
$γ_{8}$	2.8436	0.75
$γ_{9}$	-3.6559	-1.52
$γ_{10}$	4.7275	2.54

Estimation Period:
Oct 21, 2013 to Nov 11, 2022

News Impact Curve

Impact of return on liquidity tomorrow

Liquidity Forecasts

Liquidity Forecasts