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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	0.7920	7.60***
α ARCH Response to squared shocks	0.0749	7.18***
β GARCH Volatility persistence	0.8965	64.27***

γ₁	-0.0205	-1.89*
γ₂	0.0419	2.61***
γ₃	-0.0335	-3.95***

V-Lab

State Street SPDR S&P Semiconductor ETF Zero Slope Spline-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other State Street SPDR S&P Semiconductor ETF Analyses