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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	0.0476	17.08***
α ARCH Response to squared shocks	0.0768	25.58***
β GARCH Volatility persistence	0.9174	322.35***
γ leverage Additional response to negative shocks	0.3547	12.08***
δ power Transformation power	1.3357	27.25***

V-Lab

State Street SPDR S&P Semiconductor ETF APARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other State Street SPDR S&P Semiconductor ETF Analyses