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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	0.6675	4.14***
α ARCH Response to squared shocks	0.5370	4.40***
β GARCH Volatility persistence	0.2210	3.83***

V-Lab

TDAQ Lift ETF MEM Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other TDAQ Lift ETF Analyses