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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	26
α ARCH Response to squared shocks	0.0000	0.19
β GARCH Volatility persistence	0.0000	0.04
γ leverage Additional response to negative shocks	0.0471	4.46***
λ₁ tau intercept Baseline long-term coefficient	0.0000	0.00
λ₂ forecast adj. Forecast performance sensitivity	0.0056	5.85***
λ₃ tau persistence Long-term factor persistence	0.8070	59.19***

V-Lab

Leverage Shares 2X Long DUOL Daily ETF MF2-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

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