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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	3.5257	1.16
α ARCH Response to squared shocks	0.0442	6.07***
β GARCH Volatility persistence	0.9915	128.34***
ν DF Student-t tail thickness	5.3295	1.67*

V-Lab

ICE US Cotton No. 2 GAS-GARCH Student T Volatility Analysis

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News Impact Curve

Volatility Forecast

Parameter Estimates

Other ICE US Cotton No. 2 Analyses