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How illiquidity evolves over time

{name} Model Equation

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Parameter	Value	t-statistic
m window Rolling window length	126
α ARCH Response to squared shocks	0.1058	15.90***
β GARCH Volatility persistence	0.8346	110.55***
γ leverage Additional response to negative shocks	0.0001	0.02
λ₁ tau intercept Baseline long-term coefficient	0.0979	4.47***
λ₂ forecast adj. Forecast performance sensitivity	0.0335	5.24***
λ₃ tau persistence Long-term factor persistence	0.9526	106.98***

V-Lab

RBOB Gasoline MF2-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other RBOB Gasoline Analyses