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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	91
α ARCH Response to squared shocks	0.0296	18.36***
β GARCH Volatility persistence	0.9755	782.93***
γ leverage Additional response to negative shocks	-0.0102	-6.43***
λ₁ tau intercept Baseline long-term coefficient	3.0230	2.47**
λ₂ forecast adj. Forecast performance sensitivity	0.0000	0.01
λ₃ tau persistence Long-term factor persistence	0.9857	134.00***

V-Lab

ICE US Cocoa MF2-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other ICE US Cocoa Analyses