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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	0.9132	3.27***
α ARCH Response to squared shocks	0.1448	1.51
β GARCH Volatility persistence	0.0000	0.00

γ₁	47.2806	3.08***
γ₂	-92.1800	-4.39***
γ₃	90.6267	5.67***
γ₄	-81.5166	-3.88***
γ₅	57.3683	2.66***
γ₆	-35.8835	-1.92*
γ₇	38.5860	2.48**
γ₈	-43.6962	-2.98***
γ₉	21.2411	2.05**

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