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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	1.1528	7.53***
α ARCH Response to squared shocks	0.0612	4.87***
β GARCH Volatility persistence	0.9279	71.79***

V-Lab

SPDR Gold Shares Zero Slope Spline-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other SPDR Gold Shares Analyses