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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	21
α ARCH Response to squared shocks	0.3733	48.01***
β GARCH Volatility persistence	0.8118	901.00***
γ leverage Additional response to negative shocks	-0.3733	-26.59***
λ₁ tau intercept Baseline long-term coefficient	10.0000	2.01**
λ₂ forecast adj. Forecast performance sensitivity	0.1242	2.58***
λ₃ tau persistence Long-term factor persistence	0.8758	10.76***

V-Lab

First Eagle US Equity ETF MF2-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other First Eagle US Equity ETF Analyses