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

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V-Lab

Guangfa CSI 500 ETF Spline ILLIQ Liquidity Analysis

Liquidity Prediction for Monday, March 4th, 2024:225.68 (-19.52)

Analysis last updated: Friday, March 1, 2024 at 02:46 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	0.9733	4.14
$α$	0.1251	4.42
$β$	0.8748	30.91
$γ_{1}$	-0.3837	-2.74
$γ_{2}$	0.5340	2.75

Estimation Period:
May 24, 2013 to Mar 1, 2024

News Impact Curve

Impact of return on liquidity tomorrow

Liquidity Forecasts

Liquidity Forecasts

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