V-Lab: China AMC SSE 50 ETF Spline ILLIQ Liquidity Analysis

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V-Lab

China AMC SSE 50 ETF Spline ILLIQ Liquidity Analysis

Liquidity Prediction for Monday, March 4th, 2024:2.09 (-0.15)

Analysis last updated: Friday, March 1, 2024 at 02:22 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	1.0949	6.56
$α$	0.0999	4.03
$β$	0.8835	29.37
$γ_{1}$	1.6903	0.84
$γ_{2}$	-4.4939	-1.39
$γ_{3}$	5.2923	3.03
$γ_{4}$	-3.8117	-5.48
$γ_{5}$	2.0551	4.92
$γ_{6}$	-1.2643	-2.88
$γ_{7}$	0.7937	2.02
$γ_{8}$	-0.3004	-0.99
$γ_{9}$	0.0619	0.22
$γ_{10}$	-0.2299	-0.57

Estimation Period:
Oct 16, 2006 to Mar 1, 2024

News Impact Curve

Impact of return on liquidity tomorrow

Liquidity Forecasts

Liquidity Forecasts

Other China AMC SSE 50 ETF Analyses
Asymmetric ILLIQ
Historical ILLIQ
ILLIQ-MFMEM