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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	3.0993	12.83***
α ARCH Response to squared shocks	0.0296	0.72
β GARCH Volatility persistence	0.9565	7.04***
ν DF Student-t tail thickness	76.5274	0.02

V-Lab

TDAQ Lift ETF GAS-GARCH Student T Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other TDAQ Lift ETF Analyses