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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	1.6568	4.95***
α ARCH Response to squared shocks	0.1029	9.63***
β GARCH Volatility persistence	0.9532	106.10***
ν DF Student-t tail thickness	5.4410	2.77***

V-Lab

Roundhill 100 0Dte Strgy ETF GAS-GARCH Student T Volatility Analysis

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News Impact Curve

Volatility Forecast

Parameter Estimates

Other Roundhill 100 0Dte Strgy ETF Analyses