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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
ω const Unconditional variance weight	0.0359	5.16***
α ARCH Response to squared shocks	0.0552	4.27***
β GARCH Volatility persistence	0.9222	105.86***
γ leverage Additional response to negative shocks	0.0246	1.12

V-Lab

S&P GSCI Energy and Metals Spot Index GJR-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other S&P GSCI Energy and Metals Spot Index Analyses