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How illiquidity evolves over time

{name} Model Equation

How returns affect tomorrow's illiquidity

Spline Coefficients

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Parameter	Value	t-statistic
m window Rolling window length	76
α ARCH Response to squared shocks	0.5003	22.95***
β GARCH Volatility persistence	0.1840	93.67***
γ leverage Additional response to negative shocks	-0.5000	-22.95***
λ₁ tau intercept Baseline long-term coefficient	0.0000	1.00
λ₂ forecast adj. Forecast performance sensitivity	0.0529	15.42***
λ₃ tau persistence Long-term factor persistence	0.0000	10.00***

V-Lab

Columbia Research Enhanced Small Cap ETF MF2-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other Columbia Research Enhanced Small Cap ETF Analyses