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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	0.0291	19.37***
α ARCH Response to squared shocks	0.1390	24.71***
β GARCH Volatility persistence	0.8206	172.57***
γ leverage Additional response to negative shocks	0.2887	20.35***
δ power Transformation power	2.0734	36.35***

V-Lab

State Street SPDR Portfolio S&P 500 Value ETF Asy. Power MEM Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other State Street SPDR Portfolio S&P 500 Value ETF Analyses