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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	41
α ARCH Response to squared shocks	0.1414	17.82***
β GARCH Volatility persistence	0.6485	44.55***
γ leverage Additional response to negative shocks	0.0087	0.83
λ₁ tau intercept Baseline long-term coefficient	0.0250	1.80*
λ₂ forecast adj. Forecast performance sensitivity	0.0269	3.09***
λ₃ tau persistence Long-term factor persistence	0.9697	89.75***

V-Lab

NYMEX Palladium MF2-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other NYMEX Palladium Analyses