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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	12.39***
β GARCH Volatility persistence	0.8984	63.61***
γ leverage Additional response to negative shocks	-0.0144	-2.63***
λ₁ tau intercept Baseline long-term coefficient	0.0378	2.87***
λ₂ forecast adj. Forecast performance sensitivity	0.0507	1.45
λ₃ tau persistence Long-term factor persistence	0.9327	22.70***

V-Lab

CBOT Soybeans MF2-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other CBOT Soybeans Analyses