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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	0.5000	140.57***
β GARCH Volatility persistence	0.4627	62.89***
γ leverage Additional response to negative shocks	-0.5000	-275.48***
λ₁ tau intercept Baseline long-term coefficient	0.0428	0.08
λ₂ forecast adj. Forecast performance sensitivity	0.0181	2.73***
λ₃ tau persistence Long-term factor persistence	0.9819	11.76***

V-Lab

Sprott Active Mtls & MNS ETF MF2-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other Sprott Active Mtls & MNS ETF Analyses