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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	0.1411	3.49***
α ARCH Response to squared shocks	0.0825	5.93***
β GARCH Volatility persistence	0.8454	58.28***
γ leverage Additional response to negative shocks	-0.2217	-6.81***
δ power Transformation power	3.0000	9.05***

V-Lab

Defiance OIL Enhanced OP ETF APARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other Defiance OIL Enhanced OP ETF Analyses