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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	2.1897	5.67***
α ARCH Response to squared shocks	0.0947	39.10***
β GARCH Volatility persistence	0.9929	778.17***
ν DF Student-t tail thickness	8.2142	6.98***

V-Lab

iShares Core S&P U.S. Growth ETF GAS-GARCH Student T Volatility Analysis

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News Impact Curve

Volatility Forecast

Parameter Estimates

Other iShares Core S&P U.S. Growth ETF Analyses