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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	0.0422	15.60***
α ARCH Response to squared shocks	0.0548	33.08***
β GARCH Volatility persistence	0.9325	537.14***
γ leverage Additional response to negative shocks	0.3351	8.28***

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ICE US Cotton No. 2 AGARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other ICE US Cotton No. 2 Analyses