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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	106
α ARCH Response to squared shocks	0.0000	0.00
β GARCH Volatility persistence	0.6624	60.50***
γ leverage Additional response to negative shocks	0.4534	35.93***
λ₁ tau intercept Baseline long-term coefficient	9.4385	0.22
λ₂ forecast adj. Forecast performance sensitivity	0.4693	0.23
λ₃ tau persistence Long-term factor persistence	0.0000	0.00

V-Lab

-1x Short VIX Futures ETF MF2-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other -1x Short VIX Futures ETF Analyses