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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	2.9012	3.91***
α ARCH Response to squared shocks	0.0883	12.37***
β GARCH Volatility persistence	0.9790	193.21***
ν DF Student-t tail thickness	5.6273	3.35***

V-Lab

Defiance OIL Enhanced OP ETF GAS-GARCH Student T Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other Defiance OIL Enhanced OP ETF Analyses