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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	21
α ARCH Response to squared shocks	0.0000	0.09
β GARCH Volatility persistence	0.0000	0.05
γ leverage Additional response to negative shocks	0.5000	94.66***
λ₁ tau intercept Baseline long-term coefficient	0.0000	0.00
λ₂ forecast adj. Forecast performance sensitivity	0.4286	38.01***
λ₃ tau persistence Long-term factor persistence	0.3018	289.61***

V-Lab

Horizon Small/Mid Cap Core Equity ETF MF2-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other Horizon Small/Mid Cap Core Equity ETF Analyses