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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	121
α ARCH Response to squared shocks	0.0210	2.83***
β GARCH Volatility persistence	0.9121	121.57***
γ leverage Additional response to negative shocks	0.0644	11.68***
λ₁ tau intercept Baseline long-term coefficient	6.2486	0.02
λ₂ forecast adj. Forecast performance sensitivity	0.0000	0.00
λ₃ tau persistence Long-term factor persistence	0.0000	0.00

V-Lab

State Street SPDR S&P Oil & Gas Equipment & Services ETF MF2-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other State Street SPDR S&P Oil & Gas Equipment & Services ETF Analyses