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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	51
α ARCH Response to squared shocks	0.6223
β GARCH Volatility persistence	0.5803
γ leverage Additional response to negative shocks	-0.4986
λ₁ tau intercept Baseline long-term coefficient	0.0333
λ₂ forecast adj. Forecast performance sensitivity	0.4036
λ₃ tau persistence Long-term factor persistence	0.0004

V-Lab

Defined Duration 5 ETF MF2-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other Defined Duration 5 ETF Analyses