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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	66
α ARCH Response to squared shocks	0.0727	9.11***
β GARCH Volatility persistence	0.9097	94.77***
γ leverage Additional response to negative shocks	-0.0191	-2.03**
λ₁ tau intercept Baseline long-term coefficient	0.0018	0.88
λ₂ forecast adj. Forecast performance sensitivity	0.0121	1.81*
λ₃ tau persistence Long-term factor persistence	0.9870	132.99***

V-Lab

S&P GSCI Grains Spot Index MF2-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other S&P GSCI Grains Spot Index Analyses