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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	46
α ARCH Response to squared shocks	0.0460	2.84***
β GARCH Volatility persistence	0.7488	15.87***
γ leverage Additional response to negative shocks	0.0550	2.03**
λ₁ tau intercept Baseline long-term coefficient	0.7329	3.49***
λ₂ forecast adj. Forecast performance sensitivity	0.7729	4.17***
λ₃ tau persistence Long-term factor persistence	0.0000	0.00

V-Lab

CBOT Corn MF2-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other CBOT Corn Analyses