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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	1.4401	6.55***
α ARCH Response to squared shocks	0.0841	8.90***
β GARCH Volatility persistence	0.8999	94.58***

γ₁	0.0082	0.55
γ₂	-0.0184	-0.76
γ₃	0.0384	2.18**
γ₄	-0.0452	-3.88***

V-Lab

Henry Hub Natural Gas Zero Slope Spline-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other Henry Hub Natural Gas Analyses