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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	0.7608	7.66***
α ARCH Response to squared shocks	0.0783	6.76***
β GARCH Volatility persistence	0.8820	64.25***

γ₁	0.0062	0.48
γ₂	-0.0350	-1.80*
γ₃	0.0501	4.27***
γ₄	-0.0262	-3.42***

V-Lab

CBOT Corn Zero Slope Spline-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other CBOT Corn Analyses