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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	0.0583	21.44***
α ARCH Response to squared shocks	0.0577	16.39***
β GARCH Volatility persistence	0.9221	439.91***
γ leverage Additional response to negative shocks	0.0183	3.46***

V-Lab

S&P GSCI Unleaded Gasoline Spot Index GJR-GARCH Volatility Analysis

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News Impact Curve

Volatility Forecast

Parameter Estimates

Other S&P GSCI Unleaded Gasoline Spot Index Analyses