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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	0.0624	5.09***
β GARCH Volatility persistence	0.7449	14.20***
γ leverage Additional response to negative shocks	0.0026	0.18
λ₁ tau intercept Baseline long-term coefficient	0.0238	3.23***
λ₂ forecast adj. Forecast performance sensitivity	0.0562	5.33***
λ₃ tau persistence Long-term factor persistence	0.9343	73.40***

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S&P GSCI Cotton Index MF2-GARCH Volatility Analysis

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News Impact Curve

Volatility Forecast

Parameter Estimates

Other S&P GSCI Cotton Index Analyses