V-Lab: SZSE COMPONENT INDEX FUND/ETF Asymmetric ILLIQ Liquidity Analysis

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V-Lab

SZSE COMPONENT INDEX FUND/ETF Asymmetric ILLIQ Liquidity Analysis

Liquidity Prediction for Monday, March 4th, 2024:785.59 (-14.20)

Analysis last updated: Friday, March 1, 2024 at 02:58 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	2.9941	8.21
$α$	0.0704	18.10
$β$	0.9197	431.79
$γ$	0.0198	3.50

Estimation Period:
Feb 2, 2010 to Mar 1, 2024

News Impact Curve

Impact of return on liquidity tomorrow

Liquidity Forecasts

Liquidity Forecasts

Other SZSE COMPONENT INDEX FUND/ETF Analyses
Spline ILLIQ
Historical ILLIQ
ILLIQ-MFMEM