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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	106
α ARCH Response to squared shocks	0.0843	25.18***
β GARCH Volatility persistence	0.9110	363.40***
γ leverage Additional response to negative shocks	0.0013	0.25
λ₁ tau intercept Baseline long-term coefficient	8.7320	1.51
λ₂ forecast adj. Forecast performance sensitivity	0.0000	0.00
λ₃ tau persistence Long-term factor persistence	0.7242	3.50***

V-Lab

Henry Hub Natural Gas MF2-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other Henry Hub Natural Gas Analyses