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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	76
α ARCH Response to squared shocks	0.4002	698.38***
β GARCH Volatility persistence	0.0000	0.04
γ leverage Additional response to negative shocks	0.5000	251.00***
λ₁ tau intercept Baseline long-term coefficient	0.7367	225.77***
λ₂ forecast adj. Forecast performance sensitivity	0.9030	92.17***
λ₃ tau persistence Long-term factor persistence	0.0000	0.08

V-Lab

Defiance BMNR Option Income ETF MF2-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other Defiance BMNR Option Income ETF Analyses