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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	46
α ARCH Response to squared shocks	0.0000	0.01
β GARCH Volatility persistence	0.9913	356.20***
γ leverage Additional response to negative shocks	0.0174	1.05
λ₁ tau intercept Baseline long-term coefficient	0.0000	0.00
λ₂ forecast adj. Forecast performance sensitivity	0.0891	1.89*
λ₃ tau persistence Long-term factor persistence	0.2626	1.21

V-Lab

Hedgeye Fourth Turning ETF MF2-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other Hedgeye Fourth Turning ETF Analyses