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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	0.7815	10.15***
α ARCH Response to squared shocks	0.2025	4.06***
β GARCH Volatility persistence	0.2316	5.18***
γ leverage Additional response to negative shocks	0.4335	3.20***

V-Lab

TDAQ Lift ETF Asy. MEM Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other TDAQ Lift ETF Analyses