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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	1.3545	6.65***
α ARCH Response to squared shocks	0.0923	41.30***
β GARCH Volatility persistence	0.9890	557.19***
ν DF Student-t tail thickness	6.7905	8.90***

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State Street SPDR S&P 500 ETF Trust GAS-GARCH Student T Volatility Analysis

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News Impact Curve

Volatility Forecast

Parameter Estimates

Other State Street SPDR S&P 500 ETF Trust Analyses