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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	76
α ARCH Response to squared shocks	0.7798	106.08***
β GARCH Volatility persistence	0.0760	13.76***
γ leverage Additional response to negative shocks	-0.0341	-3.76***
λ₁ tau intercept Baseline long-term coefficient	0.0269	6.82***
λ₂ forecast adj. Forecast performance sensitivity	1.0000	81.14***
λ₃ tau persistence Long-term factor persistence	0.0000	0.01

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BDI Baltic Exchange Dry Index MF2-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other BDI Baltic Exchange Dry Index Analyses