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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	126
α ARCH Response to squared shocks	0.0000	0.00
β GARCH Volatility persistence	0.7555	31.37***
γ leverage Additional response to negative shocks	0.1000	8.61***
λ₁ tau intercept Baseline long-term coefficient	0.1146	0.06
λ₂ forecast adj. Forecast performance sensitivity	0.0838	0.78
λ₃ tau persistence Long-term factor persistence	0.9162	2.67***

V-Lab

Tradr 2X Long Innovation 100 Quarterly ETF MF2-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other Tradr 2X Long Innovation 100 Quarterly ETF Analyses