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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	76
α ARCH Response to squared shocks	0.0135	7.69***
β GARCH Volatility persistence	0.9092	276.11***
γ leverage Additional response to negative shocks	0.0673	18.84***
λ₁ tau intercept Baseline long-term coefficient	0.2313	1.79*
λ₂ forecast adj. Forecast performance sensitivity	0.3975	2.02**
λ₃ tau persistence Long-term factor persistence	0.5584	2.50**

V-Lab

State Street SPDR S&P Metals & Mining ETF MF2-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

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