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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	21
α ARCH Response to squared shocks	0.0631	15.67***
β GARCH Volatility persistence	0.7382	24.91***
γ leverage Additional response to negative shocks	0.0029	0.76
λ₁ tau intercept Baseline long-term coefficient	0.0243	1.29
λ₂ forecast adj. Forecast performance sensitivity	0.0573	1.84*
λ₃ tau persistence Long-term factor persistence	0.9329	25.57***

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S&P GSCI Cotton Index MF2-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other S&P GSCI Cotton Index Analyses