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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	1.0000	0.86
α ARCH Response to squared shocks	0.0000	0.00
β GARCH Volatility persistence	0.9039	21.52***
γ leverage Additional response to negative shocks	-0.9765	0.00
δ power Transformation power	1.5774	3.56***

V-Lab

MD Sass Concentrated Value ETF Asy. Power MEM Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other MD Sass Concentrated Value ETF Analyses