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How illiquidity evolves over time

{name} Model Equation

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Spline Coefficients

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Parameter	Value	t-statistic
m window Rolling window length	81
α ARCH Response to squared shocks	0.0659	8.87***
β GARCH Volatility persistence	0.9197	106.03***
γ leverage Additional response to negative shocks	-0.0141	-1.64
λ₁ tau intercept Baseline long-term coefficient	0.0014	0.98
λ₂ forecast adj. Forecast performance sensitivity	0.0104	1.68*
λ₃ tau persistence Long-term factor persistence	0.9885	140.03***

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S&P GSCI Agricultural Spot Index MF2-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other S&P GSCI Agricultural Spot Index Analyses