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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	56
α ARCH Response to squared shocks	0.0000	0.02
β GARCH Volatility persistence	0.5596	602.37***
γ leverage Additional response to negative shocks	0.5000	150.51***
λ₁ tau intercept Baseline long-term coefficient	0.3842	0.31
λ₂ forecast adj. Forecast performance sensitivity	1.0000	0.30
λ₃ tau persistence Long-term factor persistence	0.0000	0.00

V-Lab

Simplify US Equity PLUS Managed Futures Strategy ETF MF2-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

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