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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	0.0488	23.44***
α ARCH Response to squared shocks	0.0688	18.29***
β GARCH Volatility persistence	0.9196	468.00***
γ leverage Additional response to negative shocks	0.0048	0.83

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S&P GSCI Heating Oil Index GJR-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other S&P GSCI Heating Oil Index Analyses