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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	76
α ARCH Response to squared shocks	0.3622
β GARCH Volatility persistence	0.7314
γ leverage Additional response to negative shocks	-0.3998
λ₁ tau intercept Baseline long-term coefficient	0.1376
λ₂ forecast adj. Forecast performance sensitivity	0.2820
λ₃ tau persistence Long-term factor persistence	0.0045

V-Lab

Fundstrat Granny Shots US Large Cap & Income ETF MF2-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other Fundstrat Granny Shots US Large Cap & Income ETF Analyses