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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	0.0071	0.95
α ARCH Response to squared shocks	0.0599
β GARCH Volatility persistence	0.4202	4.65***
γ leverage Additional response to negative shocks	-1.0000
δ power Transformation power	3.0000	3.73***

V-Lab

First Eagle US Equity ETF Asy. Power MEM Volatility Analysis

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News Impact Curve

Volatility Forecast

Parameter Estimates

Other First Eagle US Equity ETF Analyses