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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	1.0955	4.03***
α ARCH Response to squared shocks	0.0000	0.00
β GARCH Volatility persistence	1.0000	6.03***

γ₁	143.7836	1.46
γ₂	-280.4647	-1.71*
γ₃	121.0671	0.90
γ₄	176.6314	1.19
γ₅	-366.8549	-1.86*
γ₆	291.9963	1.07

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