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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	0.1402	4.70***
β GARCH Volatility persistence	0.6485	11.52***
γ leverage Additional response to negative shocks	0.0098	0.25
λ₁ tau intercept Baseline long-term coefficient	0.0245	1.70*
λ₂ forecast adj. Forecast performance sensitivity	0.0267	2.69***
λ₃ tau persistence Long-term factor persistence	0.9700	84.46***

V-Lab

NYMEX Palladium MF2-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other NYMEX Palladium Analyses