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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	66
α ARCH Response to squared shocks	0.5000	35.18***
β GARCH Volatility persistence	0.2520	43.40***
γ leverage Additional response to negative shocks	-0.5000	-35.76***
λ₁ tau intercept Baseline long-term coefficient	0.0000	0.00
λ₂ forecast adj. Forecast performance sensitivity	0.0380	3.57***
λ₃ tau persistence Long-term factor persistence	0.9397	45.85***

V-Lab

Tradr 2X SNDK Long Daily ETF MF2-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other Tradr 2X SNDK Long Daily ETF Analyses