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How illiquidity evolves over time

{name} Model Equation

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Parameter	Value	t-statistic
ω const Unconditional variance weight	1.0554	6.38***
α ARCH Response to squared shocks	0.1691	8.74***
β GARCH Volatility persistence	0.7805	38.40***

γ₁	0.0479	0.83
γ₂	-0.1571	-1.58
γ₃	0.2585	2.96***
γ₄	-0.2765	-2.99***
γ₅	0.1868	1.49
γ₆	-0.1316	-0.82
γ₇	0.2273	1.70*
γ₈	-0.4626	-5.85***
γ₉	0.5201	10.10***

V-Lab

Amplify Samsung Sofr ETF Zero Slope Spline-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other Amplify Samsung Sofr ETF Analyses