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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	46
α ARCH Response to squared shocks	0.0700	5.69***
β GARCH Volatility persistence	0.0990	3.68***
γ leverage Additional response to negative shocks	0.1878	6.10***
λ₁ tau intercept Baseline long-term coefficient	0.4849	0.19
λ₂ forecast adj. Forecast performance sensitivity	0.4565	0.20
λ₃ tau persistence Long-term factor persistence	0.1816	0.04

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CME Live Cattle MF2-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other CME Live Cattle Analyses