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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	0.0322	15.08***
α ARCH Response to squared shocks	0.0784	28.94***
β GARCH Volatility persistence	0.9216	346.09***
γ leverage Additional response to negative shocks	0.0302	1.54
δ power Transformation power	0.9184	17.52***

V-Lab

CBOT Corn APARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other CBOT Corn Analyses