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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	0.0349	12.60***
α ARCH Response to squared shocks	0.0844	6.22***
β GARCH Volatility persistence	0.9088	154.95***
γ leverage Additional response to negative shocks	-0.0432	-2.62***

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abrdn Physical Gold Shares ETF GJR-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other abrdn Physical Gold Shares ETF Analyses