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How illiquidity evolves over time

{name} Model Equation

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Parameter	Value	t-statistic
ω const Unconditional variance weight	1.2870	6.60***
α ARCH Response to squared shocks	0.0799	5.68***
β GARCH Volatility persistence	0.8650	41.69***

γ₁	0.0646	0.36
γ₂	-0.2240	-0.77
γ₃	0.3371	1.79*
γ₄	-0.3266	-2.50**
γ₅	0.3411	3.00***
γ₆	-0.2672	-2.44**
γ₇	0.2083	2.02**
γ₈	-0.2781	-3.71***

V-Lab

VanEck Uranium and Nuclear ETF Zero Slope Spline-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other VanEck Uranium and Nuclear ETF Analyses