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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
ω const Unconditional variance weight	5.4608	6.99***
α ARCH Response to squared shocks	0.0529	44.14***
β GARCH Volatility persistence	0.9931	1,038.85***
ν DF Student-t tail thickness	7.7826	5.78***

V-Lab

S&P GSCI Unleaded Gasoline Spot Index GAS-GARCH Student T Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other S&P GSCI Unleaded Gasoline Spot Index Analyses