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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
ω const Unconditional variance weight	0.0759	5.06***
α ARCH Response to squared shocks	0.0577	3.39***
β GARCH Volatility persistence	0.9064	76.87***
γ leverage Additional response to negative shocks	0.0424	1.50

V-Lab

S&P GSCI Brent Crude Oil Index GJR-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other S&P GSCI Brent Crude Oil Index Analyses