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How illiquidity evolves over time

{name} Model Equation

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Parameter	Value	t-statistic
m window Rolling window length	91
α ARCH Response to squared shocks	0.0741	1.59
β GARCH Volatility persistence	0.8045	14.60***
γ leverage Additional response to negative shocks	-0.0741	-1.58
λ₁ tau intercept Baseline long-term coefficient	0.2299	0.06
λ₂ forecast adj. Forecast performance sensitivity	0.9249	0.89
λ₃ tau persistence Long-term factor persistence	0.0000	0.00

V-Lab

LME/COMEX Aluminum MF2-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other LME/COMEX Aluminum Analyses