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How illiquidity evolves over time

{name} Model Equation

How returns affect tomorrow's illiquidity

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Parameter	Value	t-statistic
m window Rolling window length	21
α ARCH Response to squared shocks	0.0565	3.00***
β GARCH Volatility persistence	0.7504	16.63***
γ leverage Additional response to negative shocks	0.0507	2.12**
λ₁ tau intercept Baseline long-term coefficient	0.0113	2.03**
λ₂ forecast adj. Forecast performance sensitivity	0.0305	2.71***
λ₃ tau persistence Long-term factor persistence	0.9659	81.51***

V-Lab

COMEX Copper MF2-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other COMEX Copper Analyses