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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	0.9367	9.75***
α ARCH Response to squared shocks	0.0906	34.33***
β GARCH Volatility persistence	0.9843	561.48***
ν DF Student-t tail thickness	8.8245	5.28***

V-Lab

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

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News Impact Curve

Volatility Forecast

Parameter Estimates

Other State Street Consumer Staples Select Sector SPDR ETF Analyses