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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	0.0904	24.11***
α ARCH Response to squared shocks	0.1863	49.40***
β GARCH Volatility persistence	0.7891	201.45***
γ leverage Additional response to negative shocks	0.1568	17.24***
δ power Transformation power	1.2710	27.69***

V-Lab

State Street SPDR S&P Semiconductor ETF Asy. Power MEM Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other State Street SPDR S&P Semiconductor ETF Analyses