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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	0.0762	25.28***
α ARCH Response to squared shocks	0.0785	41.55***
β GARCH Volatility persistence	0.9067	495.75***
γ leverage Additional response to negative shocks	0.1998	6.90***

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S&P GSCI Unleaded Gasoline Spot Index AGARCH Volatility Analysis

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News Impact Curve

Volatility Forecast

Parameter Estimates

Other S&P GSCI Unleaded Gasoline Spot Index Analyses