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How illiquidity evolves over time

{name} Model Equation

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Spline Coefficients

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Parameter	Value	t-statistic
m window Rolling window length	81
α ARCH Response to squared shocks	0.0491
β GARCH Volatility persistence	0.6839
γ leverage Additional response to negative shocks	0.2295
λ₁ tau intercept Baseline long-term coefficient	0.0000
λ₂ forecast adj. Forecast performance sensitivity	0.0528
λ₃ tau persistence Long-term factor persistence	0.0000

V-Lab

Eventide International ETF MF2-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other Eventide International ETF Analyses