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How illiquidity evolves over time

{name} Model Equation

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Parameter	Value	t-statistic
m window Rolling window length	26
α ARCH Response to squared shocks	0.5000	102.44***
β GARCH Volatility persistence	0.7494	221.84***
γ leverage Additional response to negative shocks	-0.5000	-53.57***
λ₁ tau intercept Baseline long-term coefficient	10.0000	4.97***
λ₂ forecast adj. Forecast performance sensitivity	0.1844	82.07***
λ₃ tau persistence Long-term factor persistence	0.8156	51.12***

V-Lab

Tradr 2X Long WDC Daily ETF MF2-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other Tradr 2X Long WDC Daily ETF Analyses