V-Lab: China CSI 500 ETF Spline ILLIQ Liquidity Analysis

V-Lab

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V-Lab

China CSI 500 ETF Spline ILLIQ Liquidity Analysis

Liquidity Prediction for Monday, March 4th, 2024:6.96 (-0.28)

Analysis last updated: Friday, March 1, 2024 at 02:43 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	1.2913	4.82
$α$	0.0779	5.84
$β$	0.9189	78.12
$γ_{1}$	0.0122	0.62

Estimation Period:
Mar 15, 2013 to Mar 1, 2024

News Impact Curve

Impact of return on liquidity tomorrow

Liquidity Forecasts

Liquidity Forecasts

Other China CSI 500 ETF Analyses
Asymmetric ILLIQ
Historical ILLIQ
ILLIQ-MFMEM