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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	0.7612	7.70***
α ARCH Response to squared shocks	0.0791	6.77***
β GARCH Volatility persistence	0.8805	63.65***

γ₁	0.0063	0.49
γ₂	-0.0351	-1.81*
γ₃	0.0499	4.27***
γ₄	-0.0258	-3.36***

V-Lab

CBOT Corn Zero Slope Spline-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other CBOT Corn Analyses