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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	0.0233	17.33***
α ARCH Response to squared shocks	0.1436	29.64***
β GARCH Volatility persistence	0.9875	1,343.49***
γ leverage Additional response to negative shocks	-0.0194	-5.81***

V-Lab

S&P GSCI Unleaded Gasoline Spot Index EGARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other S&P GSCI Unleaded Gasoline Spot Index Analyses