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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	36
α ARCH Response to squared shocks	0.0000	0.01
β GARCH Volatility persistence	0.7497	180.43***
γ leverage Additional response to negative shocks	0.5000	70.64***
λ₁ tau intercept Baseline long-term coefficient	0.9700	6.86***
λ₂ forecast adj. Forecast performance sensitivity	0.0000	0.00
λ₃ tau persistence Long-term factor persistence	0.9737	48.28***

V-Lab

Vaneck Emerging Market B ETF MF2-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other Vaneck Emerging Market B ETF Analyses