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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	126
α ARCH Response to squared shocks	0.0588	5.53***
β GARCH Volatility persistence	0.9054	86.73***
γ leverage Additional response to negative shocks	0.0198	1.63
λ₁ tau intercept Baseline long-term coefficient	0.0067	1.17
λ₂ forecast adj. Forecast performance sensitivity	0.0631	2.39**
λ₃ tau persistence Long-term factor persistence	0.9341	32.90***

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S&P GSCI Spot Index MF2-GARCH Volatility Analysis

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News Impact Curve

Volatility Forecast

Parameter Estimates

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