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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	86
α ARCH Response to squared shocks	0.1438	4.98***
β GARCH Volatility persistence	0.4451	4.84***
γ leverage Additional response to negative shocks	-0.0730	-2.45**
λ₁ tau intercept Baseline long-term coefficient	0.4339	2.20**
λ₂ forecast adj. Forecast performance sensitivity	0.4149	2.74***
λ₃ tau persistence Long-term factor persistence	0.5118	2.82***

V-Lab

ICE US Orange Juice MF2-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

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