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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	51
α ARCH Response to squared shocks	0.1229	19.70***
β GARCH Volatility persistence	0.6812	75.04***
γ leverage Additional response to negative shocks	0.0930	7.33***
λ₁ tau intercept Baseline long-term coefficient	0.0010	0.61
λ₂ forecast adj. Forecast performance sensitivity	0.5398	5.71***
λ₃ tau persistence Long-term factor persistence	0.4602	5.01***

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Amplify Samsung Sofr ETF MF2-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other Amplify Samsung Sofr ETF Analyses