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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	0.0212	13.98***
α ARCH Response to squared shocks	0.0625	16.90***
β GARCH Volatility persistence	0.9488	480.88***
γ leverage Additional response to negative shocks	-0.0280	-5.81***

V-Lab

COMEX Silver GJR-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other COMEX Silver Analyses