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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	4.1593	9.76***
α ARCH Response to squared shocks	0.0705	27.60***
β GARCH Volatility persistence	0.9868	578.44***
ν DF Student-t tail thickness	10.5388	3.51***

V-Lab

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

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News Impact Curve

Volatility Forecast

Parameter Estimates

Other State Street SPDR S&P Semiconductor ETF Analyses