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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	46
α ARCH Response to squared shocks	0.0042	0.40
β GARCH Volatility persistence	0.7821	75.88***
γ leverage Additional response to negative shocks	0.2402	18.93***
λ₁ tau intercept Baseline long-term coefficient	0.0311	1.56
λ₂ forecast adj. Forecast performance sensitivity	0.0669	1.93*
λ₃ tau persistence Long-term factor persistence	0.8965	16.48***

V-Lab

Proshares S&P 500 EX-Technology ETF MF2-GARCH Volatility Analysis

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News Impact Curve

Volatility Forecast

Parameter Estimates

Other Proshares S&P 500 EX-Technology ETF Analyses