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How illiquidity evolves over time

{name} Model Equation

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Parameter	Value	t-statistic
ω const Unconditional variance weight	0.9613	5.66***
α ARCH Response to squared shocks	0.0000	0.00
β GARCH Volatility persistence	0.7866	0.96

V-Lab

Fundstrat Granny Shots US Small- & Mid-Cap ETF Zero Slope Spline-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

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