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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	26
α ARCH Response to squared shocks	0.0310	4.07***
β GARCH Volatility persistence	0.4527	9.02***
γ leverage Additional response to negative shocks	0.3075	9.97***
λ₁ tau intercept Baseline long-term coefficient	2.5565	0.61
λ₂ forecast adj. Forecast performance sensitivity	0.1485	0.89
λ₃ tau persistence Long-term factor persistence	0.7734	2.86***

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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