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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	61
α ARCH Response to squared shocks	0.0000	0.00
β GARCH Volatility persistence	0.8299	199.30***
γ leverage Additional response to negative shocks	0.2204	43.26***
λ₁ tau intercept Baseline long-term coefficient	0.0124	5.85***
λ₂ forecast adj. Forecast performance sensitivity	0.0580	4.43***
λ₃ tau persistence Long-term factor persistence	0.9311	62.55***

V-Lab

State Street SPDR S&P 500 ETF Trust MF2-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other State Street SPDR S&P 500 ETF Trust Analyses