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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	5.7252	6.52***
α ARCH Response to squared shocks	0.0559	31.55***
β GARCH Volatility persistence	0.9933	902.99***
ν DF Student-t tail thickness	9.7520	3.37***

V-Lab

State Street SPDR S&P Metals & Mining ETF GAS-GARCH Student T Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other State Street SPDR S&P Metals & Mining ETF Analyses