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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	126
α ARCH Response to squared shocks	0.0322	24.59***
β GARCH Volatility persistence	0.9743	1,009.68***
γ leverage Additional response to negative shocks	-0.0131	-8.37***
λ₁ tau intercept Baseline long-term coefficient	9.9501	0.47
λ₂ forecast adj. Forecast performance sensitivity	0.0000	0.00
λ₃ tau persistence Long-term factor persistence	0.9074	4.66***

V-Lab

ICE US Cocoa MF2-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other ICE US Cocoa Analyses