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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	0.6529	3.16***
α ARCH Response to squared shocks	0.1140	2.36**
β GARCH Volatility persistence	0.8033	8.75***
ν DF Student-t tail thickness	4.3229	0.92

V-Lab

Hedgeye Fourth Turning ETF GAS-GARCH Student T Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other Hedgeye Fourth Turning ETF Analyses