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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	101
α ARCH Response to squared shocks	0.0285	8.04***
β GARCH Volatility persistence	0.8634	194.12***
γ leverage Additional response to negative shocks	0.0827	15.48***
λ₁ tau intercept Baseline long-term coefficient	0.0086	2.57**
λ₂ forecast adj. Forecast performance sensitivity	0.1927	26.26***
λ₃ tau persistence Long-term factor persistence	0.8073	135.67***

V-Lab

VanEck Uranium and Nuclear ETF MF2-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other VanEck Uranium and Nuclear ETF Analyses