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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	0.0712	12.51***
β GARCH Volatility persistence	0.8966	62.31***
γ leverage Additional response to negative shocks	-0.0132	-2.45**
λ₁ tau intercept Baseline long-term coefficient	0.0381	2.81***
λ₂ forecast adj. Forecast performance sensitivity	0.0521	1.44
λ₃ tau persistence Long-term factor persistence	0.9312	21.97***

V-Lab

CBOT Soybeans MF2-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other CBOT Soybeans Analyses