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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	0.0280	7.91***
β GARCH Volatility persistence	0.8628	194.01***
γ leverage Additional response to negative shocks	0.0842	15.78***
λ₁ tau intercept Baseline long-term coefficient	0.0086	2.57**
λ₂ forecast adj. Forecast performance sensitivity	0.1912	26.10***
λ₃ tau persistence Long-term factor persistence	0.8088	136.93***

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