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How illiquidity evolves over time

{name} Model Equation

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Spline Coefficients

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Parameter	Value	t-statistic
m window Rolling window length	26
α ARCH Response to squared shocks	0.0948
β GARCH Volatility persistence	0.7672
γ leverage Additional response to negative shocks	0.1684
λ₁ tau intercept Baseline long-term coefficient	0.3453
λ₂ forecast adj. Forecast performance sensitivity	0.1505
λ₃ tau persistence Long-term factor persistence	0.3436

V-Lab

MD Sass Concentrated Value ETF MF2-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other MD Sass Concentrated Value ETF Analyses