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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	21
α ARCH Response to squared shocks	0.0113	1.88*
β GARCH Volatility persistence	0.4688	7.29***
γ leverage Additional response to negative shocks	0.2031	5.09***
λ₁ tau intercept Baseline long-term coefficient	1.3158	0.37
λ₂ forecast adj. Forecast performance sensitivity	0.1548	0.49
λ₃ tau persistence Long-term factor persistence	0.8092	2.32**

V-Lab

T-Rex 2X Long NVIDIA Daily Target ETF MF2-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

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