V-Lab: Lion CSI 500 Index ETF Spline ILLIQ Liquidity Analysis

V-Lab

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V-Lab

Lion CSI 500 Index ETF Spline ILLIQ Liquidity Analysis

Liquidity Prediction for Friday, July 5th, 2019:2521743.00 (-75642.00)

Analysis last updated: Thursday, August 8, 2019 at 11:06 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

Parameter Estimates

	param	t-stat
$ω$	0.0334	3.71
$α$	0.2873	3.29
$β$	0.5663	6.27
$γ_{1}$	6.0216	1.17
$γ_{2}$	-11.0752	-1.26
$γ_{3}$	8.3738	1.29
$γ_{4}$	-3.6756	-0.71
$γ_{5}$	-7.1375	-1.29
$γ_{6}$	13.0779	2.31
$γ_{7}$	-9.9646	-1.83
$γ_{8}$	8.3403	1.56
$γ_{9}$	-7.5609	-1.01

Estimation Period:
Mar 10, 2014 to Jun 28, 2019

News Impact Curve

Impact of return on liquidity tomorrow

Liquidity Forecasts

Liquidity Forecasts