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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	1.3174	3.07***
α ARCH Response to squared shocks	0.2184	3.76***
β GARCH Volatility persistence	0.5996	7.86***

γ₁	0.4792	0.55
γ₂	0.2047	0.16
γ₃	-1.7256	-1.84*
γ₄	1.5321	2.21**

V-Lab

-1x Short VIX Futures ETF Zero Slope Spline-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other -1x Short VIX Futures ETF Analyses