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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	0.8332	3.23***
α ARCH Response to squared shocks	0.1370	1.44
β GARCH Volatility persistence	0.0000	0.00

γ₁	38.2761	2.51**
γ₂	-76.7492	-3.70***
γ₃	80.6150	5.72***
γ₄	-78.5345	-4.25***
γ₅	61.2715	3.01***
γ₆	-41.5765	-2.26**
γ₇	43.1298	2.78***
γ₈	-50.5640	-3.59***
γ₉	28.7732	2.76***

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