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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	0.0254	5.56***
α ARCH Response to squared shocks	0.0625	5.96***
β GARCH Volatility persistence	0.9204	139.02***
γ leverage Additional response to negative shocks	-0.0022	-0.11

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S&P GSCI Biofuel Spot Index GJR-GARCH Volatility Analysis

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News Impact Curve

Volatility Forecast

Parameter Estimates

Other S&P GSCI Biofuel Spot Index Analyses