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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	46
α ARCH Response to squared shocks	0.0436	15.67***
β GARCH Volatility persistence	0.8361	54.64***
γ leverage Additional response to negative shocks	0.0474	8.21***
λ₁ tau intercept Baseline long-term coefficient	0.0457	2.07**
λ₂ forecast adj. Forecast performance sensitivity	0.0529	1.95*
λ₃ tau persistence Long-term factor persistence	0.9342	28.49***

V-Lab

ICE US Cotton No. 2 MF2-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other ICE US Cotton No. 2 Analyses