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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	0.0342	37.42***
α ARCH Response to squared shocks	0.0937	33.34***
β GARCH Volatility persistence	0.9001	342.38***
γ leverage Additional response to negative shocks	0.9669	24.26***
δ power Transformation power	0.9454	39.00***

V-Lab

State Street SPDR S&P 500 ETF Trust APARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other State Street SPDR S&P 500 ETF Trust Analyses