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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	0.2053	7.42***
α ARCH Response to squared shocks	0.0552	3.86***
β GARCH Volatility persistence	0.8136	30.74***
γ leverage Additional response to negative shocks	1.0000	508.90***
δ power Transformation power	0.5000	3.53***

V-Lab

TDAQ Lift ETF APARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other TDAQ Lift ETF Analyses