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How illiquidity evolves over time

{name} Model Equation

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Parameter	Value	t-statistic
ω const Unconditional variance weight	0.0024	10.06***
α ARCH Response to squared shocks	0.0553	17.61***
β GARCH Volatility persistence	0.9608	491.94***
γ leverage Additional response to negative shocks	-0.0320	-9.09***

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S&P GSCI Gold Spot Index GJR-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other S&P GSCI Gold Spot Index Analyses