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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	101
α ARCH Response to squared shocks	0.0414	5.61***
β GARCH Volatility persistence	0.9437	94.96***
γ leverage Additional response to negative shocks	-0.0289	-3.67***
λ₁ tau intercept Baseline long-term coefficient	0.3394	2.84***
λ₂ forecast adj. Forecast performance sensitivity	0.9209	19.28***
λ₃ tau persistence Long-term factor persistence	0.0000	0.00

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S&P GSCI Cocoa Index MF2-GARCH Volatility Analysis

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News Impact Curve

Volatility Forecast

Parameter Estimates

Other S&P GSCI Cocoa Index Analyses