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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	0.0432	14.95***
α ARCH Response to squared shocks	0.0822	0.33
β GARCH Volatility persistence	0.8758	108.82***
γ leverage Additional response to negative shocks	1.0000	0.22
δ power Transformation power	1.3351	23.83***

V-Lab

Proshares S&P 500 EX-Technology ETF APARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other Proshares S&P 500 EX-Technology ETF Analyses