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How illiquidity evolves over time

{name} Model Equation

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Parameter	Value	t-statistic
m window Rolling window length	121
α ARCH Response to squared shocks	0.3797	44.40***
β GARCH Volatility persistence	0.7232	74.95***
γ leverage Additional response to negative shocks	-0.3535	-26.86***
λ₁ tau intercept Baseline long-term coefficient	10.0000	18.44***
λ₂ forecast adj. Forecast performance sensitivity	0.0000	0.00
λ₃ tau persistence Long-term factor persistence	0.8823	115.26***

V-Lab

Leverage Shares 2X Avgo ETF MF2-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other Leverage Shares 2X Avgo ETF Analyses