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How illiquidity evolves over time

{name} Model Equation

How returns affect tomorrow's illiquidity

Spline Coefficients

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Parameter	Value	t-statistic
m window Rolling window length	126
α ARCH Response to squared shocks	0.0534	19.06***
β GARCH Volatility persistence	0.8995	313.73***
γ leverage Additional response to negative shocks	0.0453	13.50***
λ₁ tau intercept Baseline long-term coefficient	0.0214	10.91***
λ₂ forecast adj. Forecast performance sensitivity	0.0344	11.74***
λ₃ tau persistence Long-term factor persistence	0.9614	286.83***

V-Lab

S&P GSCI All Crude Spot Index MF2-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other S&P GSCI All Crude Spot Index Analyses