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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	0.0389	16.34***
α ARCH Response to squared shocks	0.0356	20.16***
β GARCH Volatility persistence	0.9410	534.65***
γ leverage Additional response to negative shocks	0.0271	6.38***

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ICE US Cotton No. 2 GJR-GARCH Volatility Analysis

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News Impact Curve

Volatility Forecast

Parameter Estimates

Other ICE US Cotton No. 2 Analyses