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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	1.1114	5.24***
α ARCH Response to squared shocks	0.0712	18.55***
β GARCH Volatility persistence	0.9773	191.07***
ν DF Student-t tail thickness	6.2663	2.93***

V-Lab

Goldman Sachs Physical Gold ETF GAS-GARCH Student T Volatility Analysis

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News Impact Curve

Volatility Forecast

Parameter Estimates

Other Goldman Sachs Physical Gold ETF Analyses