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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	81
α ARCH Response to squared shocks	0.0000	0.01
β GARCH Volatility persistence	0.8813	323.41***
γ leverage Additional response to negative shocks	0.1266	38.61***
λ₁ tau intercept Baseline long-term coefficient	0.1617	6.59***
λ₂ forecast adj. Forecast performance sensitivity	0.8210	28.19***
λ₃ tau persistence Long-term factor persistence	0.0908	2.31**

V-Lab

State Street Materials Select Sector SPDR ETF MF2-GARCH Volatility Analysis

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News Impact Curve

Volatility Forecast

Parameter Estimates

Other State Street Materials Select Sector SPDR ETF Analyses