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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	0.8167	3.27***
α ARCH Response to squared shocks	0.0000	0.00
β GARCH Volatility persistence	0.9874	8.45***

γ₁	-20.9264	-0.60
γ₂	27.1844	0.64

V-Lab

Columbia Research Enhanced Small Cap ETF Zero Slope Spline-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other Columbia Research Enhanced Small Cap ETF Analyses