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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	81
α ARCH Response to squared shocks	0.0000	0.00
β GARCH Volatility persistence	0.8378	198.76***
γ leverage Additional response to negative shocks	0.2027	39.57***
λ₁ tau intercept Baseline long-term coefficient	0.0654	7.33***
λ₂ forecast adj. Forecast performance sensitivity	0.6392	16.35***
λ₃ tau persistence Long-term factor persistence	0.3165	6.78***

V-Lab

Schwab U.S. Mid-Cap ETF MF2-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other Schwab U.S. Mid-Cap ETF Analyses