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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	0.0576	14.65***
α ARCH Response to squared shocks	0.1026	13.07***
β GARCH Volatility persistence	0.8506	118.93***
γ leverage Additional response to negative shocks	-0.1327	-2.56**
δ power Transformation power	2.0333	13.09***

V-Lab

Proshares S&P 500 EX-Technology ETF Asy. Power MEM Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other Proshares S&P 500 EX-Technology ETF Analyses