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How illiquidity evolves over time

{name} Model Equation

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Spline Coefficients

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Parameter	Value	t-statistic
ω const Unconditional variance weight	1.7007	7.49***
α ARCH Response to squared shocks	0.0909	7.52***
β GARCH Volatility persistence	0.8773	61.13***

γ₁	0.0274	5.73***
γ₂	-0.0326	-5.49***

V-Lab

Ishares Global Agriculture Zero Slope Spline-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other Ishares Global Agriculture Analyses