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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	0.0387	27.92***
α ARCH Response to squared shocks	0.2135	60.50***
β GARCH Volatility persistence	0.7584	191.47***
γ leverage Additional response to negative shocks	0.1377	20.41***
δ power Transformation power	0.6718	14.33***

V-Lab

State Street Consumer Staples Select Sector SPDR ETF Asy. Power MEM Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other State Street Consumer Staples Select Sector SPDR ETF Analyses