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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	41
α ARCH Response to squared shocks	0.0709	33.32***
β GARCH Volatility persistence	0.8912	215.37***
γ leverage Additional response to negative shocks	0.0109	4.27***
λ₁ tau intercept Baseline long-term coefficient	0.0016	7.21***
λ₂ forecast adj. Forecast performance sensitivity	0.0102	8.44***
λ₃ tau persistence Long-term factor persistence	0.9892	745.43***

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S&P GSCI Corn Index MF2-GARCH Volatility Analysis

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News Impact Curve

Volatility Forecast

Parameter Estimates

Other S&P GSCI Corn Index Analyses