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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	111
α ARCH Response to squared shocks	0.0316	23.03***
β GARCH Volatility persistence	0.9747	959.34***
γ leverage Additional response to negative shocks	-0.0126	-8.05***
λ₁ tau intercept Baseline long-term coefficient	4.2703	1.71*
λ₂ forecast adj. Forecast performance sensitivity	0.0000	0.01
λ₃ tau persistence Long-term factor persistence	0.9713	54.16***

V-Lab

ICE US Cocoa MF2-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other ICE US Cocoa Analyses