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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	0.8673	3.28***
α ARCH Response to squared shocks	0.1391	1.41
β GARCH Volatility persistence	0.0000	0.00

γ₁	44.8416	2.95***
γ₂	-88.5831	-4.28***
γ₃	89.9590	6.11***
γ₄	-84.3850	-4.37***
γ₅	62.8671	3.01***
γ₆	-41.2285	-2.19**
γ₇	43.7942	2.74***
γ₈	-54.3585	-3.54***
γ₉	47.9912	2.74***

V-Lab

Defiance OIL Enhanced OP ETF Spline-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other Defiance OIL Enhanced OP ETF Analyses