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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	5.4229	1.34
α ARCH Response to squared shocks	0.0630	9.86***
β GARCH Volatility persistence	0.9916	151.41***
ν DF Student-t tail thickness	6.7210	1.55

V-Lab

S&P GSCI Brent Crude Oil Index GAS-GARCH Student T Volatility Analysis

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News Impact Curve

Volatility Forecast

Parameter Estimates

Other S&P GSCI Brent Crude Oil Index Analyses