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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	0.8735	6.38***
α ARCH Response to squared shocks	0.4160	9.92***
β GARCH Volatility persistence	0.1902	4.19***
γ leverage Additional response to negative shocks	0.2453	6.41***
δ power Transformation power	2.4149	5.62***

V-Lab

TDAQ Lift ETF Asy. Power MEM Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other TDAQ Lift ETF Analyses