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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	0.1404	17.82***
β GARCH Volatility persistence	0.6497	44.76***
γ leverage Additional response to negative shocks	0.0096	0.92
λ₁ tau intercept Baseline long-term coefficient	0.0243	1.79*
λ₂ forecast adj. Forecast performance sensitivity	0.0267	3.10***
λ₃ tau persistence Long-term factor persistence	0.9700	91.17***

V-Lab

NYMEX Palladium MF2-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other NYMEX Palladium Analyses