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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	0.0028	4.59***
α ARCH Response to squared shocks	0.0203	16.93***
β GARCH Volatility persistence	0.9625	1,022.89***
γ leverage Additional response to negative shocks	0.0325	9.20***

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30Y US Treasury CMT 30 Year GJR-GARCH Volatility Analysis

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News Impact Curve

Volatility Forecast

Parameter Estimates

Other 30Y US Treasury CMT 30 Year Analyses