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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	21
α ARCH Response to squared shocks	0.0562	11.99***
β GARCH Volatility persistence	0.7502	28.81***
γ leverage Additional response to negative shocks	0.0510	8.01***
λ₁ tau intercept Baseline long-term coefficient	0.0109	1.39
λ₂ forecast adj. Forecast performance sensitivity	0.0301	1.94*
λ₃ tau persistence Long-term factor persistence	0.9665	57.16***

V-Lab

COMEX Copper MF2-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other COMEX Copper Analyses