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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	116
α ARCH Response to squared shocks	0.0212	7.44***
β GARCH Volatility persistence	0.8516	143.32***
γ leverage Additional response to negative shocks	0.1358	21.10***
λ₁ tau intercept Baseline long-term coefficient	0.2076	3.22***
λ₂ forecast adj. Forecast performance sensitivity	0.4735	4.26***
λ₃ tau persistence Long-term factor persistence	0.4400	3.15***

V-Lab

Invesco Russell 2000 Dynamic Multifactor ETF MF2-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other Invesco Russell 2000 Dynamic Multifactor ETF Analyses