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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	61
α ARCH Response to squared shocks	0.0000	0.01
β GARCH Volatility persistence	0.8631	267.63***
γ leverage Additional response to negative shocks	0.1506	40.31***
λ₁ tau intercept Baseline long-term coefficient	0.0486	3.15***
λ₂ forecast adj. Forecast performance sensitivity	0.3576	3.45***
λ₃ tau persistence Long-term factor persistence	0.6157	5.47***

V-Lab

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

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other State Street Consumer Discretionary Select Sector SPDR ETF Analyses