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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	31
α ARCH Response to squared shocks	0.0000	0.00
β GARCH Volatility persistence	0.7802	116.22***
γ leverage Additional response to negative shocks	0.2504	33.83***
λ₁ tau intercept Baseline long-term coefficient	0.0220	2.78***
λ₂ forecast adj. Forecast performance sensitivity	0.0996	4.39***
λ₃ tau persistence Long-term factor persistence	0.8869	33.06***

V-Lab

iShares MSCI USA Momentum Factor ETF MF2-GARCH Volatility Analysis

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News Impact Curve

Volatility Forecast

Parameter Estimates

Other iShares MSCI USA Momentum Factor ETF Analyses