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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	0.0847	27.40***
β GARCH Volatility persistence	0.9108	473.63***
γ leverage Additional response to negative shocks	0.0013	0.24
λ₁ tau intercept Baseline long-term coefficient	0.4698	7.97***
λ₂ forecast adj. Forecast performance sensitivity	0.0000	0.01
λ₃ tau persistence Long-term factor persistence	0.9856	353.63***

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