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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	0.8297	199.55***
γ leverage Additional response to negative shocks	0.2209	43.38***
λ₁ tau intercept Baseline long-term coefficient	0.0123	5.87***
λ₂ forecast adj. Forecast performance sensitivity	0.0580	4.44***
λ₃ tau persistence Long-term factor persistence	0.9312	62.80***

V-Lab

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

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News Impact Curve

Volatility Forecast

Parameter Estimates

Other State Street SPDR S&P 500 ETF Trust Analyses