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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	0.8379	3.24***
α ARCH Response to squared shocks	0.1457	1.49
β GARCH Volatility persistence	0.0000	0.00

γ₁	40.8404	2.67***
γ₂	-81.6736	-3.91***
γ₃	84.5974	5.61***
γ₄	-80.4451	-4.05***
γ₅	61.1397	2.89***
γ₆	-41.4246	-2.22**
γ₇	43.3716	2.76***
γ₈	-47.5609	-3.23***
γ₉	23.5161	2.18**

V-Lab

Defiance OIL Enhanced OP ETF Zero Slope Spline-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other Defiance OIL Enhanced OP ETF Analyses