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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	0.7611	7.67***
α ARCH Response to squared shocks	0.0780	6.76***
β GARCH Volatility persistence	0.8824	64.42***

γ₁	0.0061	0.47
γ₂	-0.0347	-1.79*
γ₃	0.0499	4.26***
γ₄	-0.0261	-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