V-Lab: Harvest CSI 300 Index ETF Spline ILLIQ Liquidity Analysis

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V-Lab

Harvest CSI 300 Index ETF Spline ILLIQ Liquidity Analysis

Liquidity Prediction for Monday, March 4th, 2024:6.28 (-0.06)

Analysis last updated: Friday, March 1, 2024 at 03:05 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	1.1972	4.18
$α$	0.0804	9.28
$β$	0.9192	106.34
$γ_{1}$	-0.0585	-1.37

Estimation Period:
May 28, 2012 to Mar 1, 2024

News Impact Curve

Impact of return on liquidity tomorrow

Liquidity Forecasts

Liquidity Forecasts

Other Harvest CSI 300 Index ETF Analyses
Asymmetric ILLIQ
Historical ILLIQ
ILLIQ-MFMEM