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How illiquidity evolves over time

{name} Model Equation

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Parameter	Value	t-statistic
α ARCH Response to squared shocks	0.0000	0.01
β GARCH Volatility persistence	0.8571	624.74***
γ leverage Additional response to negative shocks	0.2857	96.10***
λ₁ tau intercept Baseline long-term coefficient	3.1607	1,426.93***

V-Lab

TDAQ Lift ETF MF2-GARCH Volatility Analysis

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News Impact Curve

Volatility Forecast

Parameter Estimates

Other TDAQ Lift ETF Analyses