State Street SPDR S&P 500 ETF Trust

iShares Micro-Cap ETF

iShares Russell 2000 ETF

iShares Russell Mid-Cap ETF

How volatility evolves over time

How illiquidity evolves over time

{name} Model Equation

How returns affect tomorrow's volatility

How returns affect tomorrow's illiquidity

Spline Coefficients

Value at Risk (VaR) estimates the maximum loss at a given confidence level. Expected Shortfall (ES) estimates the average loss beyond VaR.

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