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How illiquidity evolves over time

{name} Model Equation

How returns affect tomorrow's illiquidity

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Parameter	Value	t-statistic
m window Rolling window length	76
α ARCH Response to squared shocks	0.0138	7.86***
β GARCH Volatility persistence	0.9094	276.75***
γ leverage Additional response to negative shocks	0.0667	18.70***
λ₁ tau intercept Baseline long-term coefficient	0.2295	1.82*
λ₂ forecast adj. Forecast performance sensitivity	0.3998	2.06**
λ₃ tau persistence Long-term factor persistence	0.5570	2.54**

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