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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	116
α ARCH Response to squared shocks	0.0000	0.00
β GARCH Volatility persistence	0.8938	94.02***
γ leverage Additional response to negative shocks	0.1418	19.57***
λ₁ tau intercept Baseline long-term coefficient	2.8472	0.13
λ₂ forecast adj. Forecast performance sensitivity	0.0000	0.00
λ₃ tau persistence Long-term factor persistence	0.7088	0.33

V-Lab

Roundhill DLY 2X LG Magn SVN MF2-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other Roundhill DLY 2X LG Magn SVN Analyses