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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	0.0067	4.35***
α ARCH Response to squared shocks	0.0344	16.24***
β GARCH Volatility persistence	0.9730	855.04***
γ leverage Additional response to negative shocks	-0.0161	-6.21***

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ICE US Cocoa GJR-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other ICE US Cocoa Analyses