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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	31
α ARCH Response to squared shocks	0.0667	13.22***
β GARCH Volatility persistence	0.8799	113.07***
γ leverage Additional response to negative shocks	0.0481	6.36***
λ₁ tau intercept Baseline long-term coefficient	0.0161	7.72***
λ₂ forecast adj. Forecast performance sensitivity	0.0129	3.80***
λ₃ tau persistence Long-term factor persistence	0.9841	258.02***

V-Lab

ICE Brent Crude Oil MF2-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other ICE Brent Crude Oil Analyses