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How illiquidity evolves over time

{name} Model Equation

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Parameter	Value	t-statistic
ω const Unconditional variance weight	1.0877	7.19***
α ARCH Response to squared shocks	0.1135	22.83***
β GARCH Volatility persistence	0.9734	253.68***
ν DF Student-t tail thickness	6.3700	5.64***

V-Lab

Doubleline Shiller Cape US Equities ETF GAS-GARCH Student T Volatility Analysis

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News Impact Curve

Volatility Forecast

Parameter Estimates

Other Doubleline Shiller Cape US Equities ETF Analyses