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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	0.6783	4.69***
α ARCH Response to squared shocks	0.0772	4.63***
β GARCH Volatility persistence	0.8725	34.34***

γ₁	-0.0143	-0.12
γ₂	-0.1219	-0.81
γ₃	0.4560	5.47***
γ₄	-0.7008	-3.64***
γ₅	0.7032	2.62***
γ₆	-0.5507	-2.71***
γ₇	0.2991	2.43**
γ₈	-0.0623	-0.74

V-Lab

State Street SPDR S&P Oil & Gas Equipment & Services ETF Zero Slope Spline-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

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