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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	0.0704	11.17***
α ARCH Response to squared shocks	0.0479	6.82***
β GARCH Volatility persistence	0.8862	153.72***
γ leverage Additional response to negative shocks	0.0824	6.60***

V-Lab

Defiance Space and Connective Tech ETF GJR-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other Defiance Space and Connective Tech ETF Analyses