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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	56
α ARCH Response to squared shocks	0.0258	8.67***
β GARCH Volatility persistence	0.8379	138.04***
γ leverage Additional response to negative shocks	0.1403	25.89***
λ₁ tau intercept Baseline long-term coefficient	0.0093	5.18***
λ₂ forecast adj. Forecast performance sensitivity	0.0612	4.23***
λ₃ tau persistence Long-term factor persistence	0.9267	55.58***

V-Lab

State Street Consumer Staples Select Sector SPDR ETF MF2-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other State Street Consumer Staples Select Sector SPDR ETF Analyses