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How illiquidity evolves over time

{name} Model Equation

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Parameter	Value	t-statistic
m window Rolling window length	26
α ARCH Response to squared shocks	0.0953	7.42***
β GARCH Volatility persistence	0.6177	14.54***
γ leverage Additional response to negative shocks	0.0365	2.50**
λ₁ tau intercept Baseline long-term coefficient	0.0039	1.18
λ₂ forecast adj. Forecast performance sensitivity	0.0606	1.23
λ₃ tau persistence Long-term factor persistence	0.9184	14.27***

V-Lab

WisdomTree Bloomberg U.S. Dollar Bullish Fund MF2-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other WisdomTree Bloomberg U.S. Dollar Bullish Fund Analyses