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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	0.0243	23.00***
α ARCH Response to squared shocks	0.0774	35.05***
β GARCH Volatility persistence	0.9204	429.70***
γ leverage Additional response to negative shocks	0.5303	21.03***
δ power Transformation power	1.2053	32.07***

V-Lab

State Street Materials Select Sector SPDR ETF APARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other State Street Materials Select Sector SPDR ETF Analyses