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How illiquidity evolves over time

{name} Model Equation

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Parameter	Value	t-statistic
m window Rolling window length	111
α ARCH Response to squared shocks	0.0915	13.57***
β GARCH Volatility persistence	0.7666	42.12***
γ leverage Additional response to negative shocks	-0.0350	-2.23**
λ₁ tau intercept Baseline long-term coefficient	0.3152	0.08
λ₂ forecast adj. Forecast performance sensitivity	0.7330	0.08
λ₃ tau persistence Long-term factor persistence	0.0000	0.00

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abrdn Physical Gold Shares ETF MF2-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other abrdn Physical Gold Shares ETF Analyses