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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	2.2573	10.38***
α ARCH Response to squared shocks	0.0833	34.81***
β GARCH Volatility persistence	0.9885	797.18***
ν DF Student-t tail thickness	11.2230	4.18***

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