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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	1.3887	10.18***
α ARCH Response to squared shocks	0.1162	26.98***
β GARCH Volatility persistence	0.9770	381.36***
ν DF Student-t tail thickness	9.6312	4.30***

V-Lab

Schwab U.S. Mid-Cap ETF GAS-GARCH Student T Volatility Analysis

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News Impact Curve

Volatility Forecast

Parameter Estimates

Other Schwab U.S. Mid-Cap ETF Analyses