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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	0.0536	4.41***
β GARCH Volatility persistence	0.8989	84.22***
γ leverage Additional response to negative shocks	0.0453	3.19***
λ₁ tau intercept Baseline long-term coefficient	0.0217	0.86
λ₂ forecast adj. Forecast performance sensitivity	0.0342	1.27
λ₃ tau persistence Long-term factor persistence	0.9615	30.63***

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