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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	0.9336	9.74***
α ARCH Response to squared shocks	0.0907	34.32***
β GARCH Volatility persistence	0.9842	556.65***
ν DF Student-t tail thickness	8.7974	5.29***

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