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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	0.5996	3.81***
α ARCH Response to squared shocks	0.0000	0.00
β GARCH Volatility persistence	0.0000	0.00

γ₁	29.0427	0.66
γ₂	-122.4249	-1.79*
γ₃	202.0121	3.40***
γ₄	-230.6131	-3.53***
γ₅	187.2975	3.63***

V-Lab

Hedgeye Fourth Turning ETF Zero Slope Spline-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other Hedgeye Fourth Turning ETF Analyses