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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
m window Rolling window length	86
α ARCH Response to squared shocks	0.0633	20.50***
β GARCH Volatility persistence	0.8890	199.18***
γ leverage Additional response to negative shocks	0.0196	5.73***
λ₁ tau intercept Baseline long-term coefficient	0.0160	6.42***
λ₂ forecast adj. Forecast performance sensitivity	0.0321	6.14***
λ₃ tau persistence Long-term factor persistence	0.9645	165.55***

V-Lab

S&P GSCI Heating Oil Index MF2-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other S&P GSCI Heating Oil Index Analyses