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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	0.0291	3.81***
α ARCH Response to squared shocks	0.0911	10.31***
β GARCH Volatility persistence	0.9736	166.37***
ν DF Student-t tail thickness	5.6892	2.46**

V-Lab

S&P 500 Struct ALT ETF - OCT GAS-GARCH Student T Volatility Analysis

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News Impact Curve

Volatility Forecast

Parameter Estimates

Other S&P 500 Struct ALT ETF - OCT Analyses