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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	2.2587	10.44***
α ARCH Response to squared shocks	0.0831	34.82***
β GARCH Volatility persistence	0.9886	807.67***
ν DF Student-t tail thickness	11.3424	4.14***

V-Lab

State Street Materials Select Sector SPDR ETF GAS-GARCH Student T Volatility Analysis

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News Impact Curve

Volatility Forecast

Parameter Estimates

Other State Street Materials Select Sector SPDR ETF Analyses